Xandria

http://www.youtube.com/watch?v=HzTguve7jAE&feature=related

Not cover I hope.

I forgot this one:

http://www.youtube.com/watch?v=gaBo6wdfWl0

The video makes this all kind of epic.

Almost forgot about this one:

http://www.youtube.com/watch?v=aGmAmJFUvzM

This cannot be topped: http://www.youtube.com/watch?v=JxPj3GAYYZ0

There's A Fine, Fine Line from Avenue Q.

Preferably performed by the amazing Julie Atherton, the DEFINITIVE Kate Monster.
http://www.youtube.com/watch?v=LMQncV05aOk

It's hard to beat Eric Clapton - Tears in Heaven.

Especially to know that it was written about his son dying.
http://www.youtube.com/watch?v=JxPj3GAYYZ0

I'd say closely is Jeff Buckley - Hallelujah ,

http://www.youtube.com/watch?v=y8AWFf7EAc4&ob=av2e

Remarkably, you posted the exact same link as I did!

Tears in Heaven was written shortly after Conor Clapton fell to his death from the 53rd floor of his mother's New York apartment.

Good one. Try Mad Season (the whole album).

[edit]better not it's very depressing

*after all this depression listens rocky-themes for a while*

There's a song by Ruben Blades, called "Patria". Patria means "country" referring to one's own country and the beautiful things it has. When you listen to it in your own home, it's quite beautiful and it even makes you feel love for your country and gives you a little patriotic pride. Any time Panama has won anything in an international level, like when a local long distance jumper gave us our first olympic gold medal or when the US transitioned control of the Panama Canal to us, the song gets played in public events and it brings tears of pride to people's eyes....

... but god dammit when you've been far away from your home and country for long, in a totally different culture and you're longing to go back... that song can REALLY make you sad and get you wondering why the fuck aren't you back home.

What's more depressing than some extreme funeral doom metal, especially if the singer jumped from a bridge some time after recording the album :
http://www.youtube.com/watch?v=cz4_j86KPOA

Black Sabbath - Planet Caravan.

dark and moody.

Yes, yes, yes, Leonard Cohen! I'm sure plenty will hate it, but the man knows how to write lyrics! Famous Blue Raincoat, Chelsea Hotel No 2, to name a few well-known tunes.

BUT flip to Townes Van Zandt when Leonard's angst gets a little too much to handle.

"There's only two kinds of music: the blues and zippety doo-dah" - TVZ

http://www.youtube.com/watch?v=dF_3w_gXing&feature=related
( Footage is from Heartworn Highways, and that's Uncle Seymour!)

@#%$, TVZ kills me. Whiskey time, kids.

edit2: Damn, that editing bothers me a bit. TVZ is playing 'waiting round to die', that's what gets to Uncle Seymour.

sad the world lost Townes. Props to Hank Sr.
http://www.youtube.com/watch?v=wcUj9T5TodU&feature=related