There's a lot of songs I listen to when I'm depressed. I just really depends on which way my depression is going...whether I want to sulk with it or rage with it, or if I just need a song to make me feel better... Below are a some of the songs I listen to a lot when I'm depressed:

Skin by Sixx Am
Are You With Me by Sixx Am
Monster by Skillet
Never Surrender by Skillet
Sometimes by Skillet
Sound Off by Trapt
Here And Now by Seether
What A Shame by Shinedown
Breaking Inside by Shinedown
Call Me by Shinedown
The Energy by Shinedown

....there's probably more, but those are the ones I could remember right off. Those are some of the songs I connect to in some way when I am down. Hope it helps.