These are some of the songs on my depressing play list. Some are sad due to the meaning of the lyrics while others because of associations to either
movies or real life and finally some are because the sound alone is depressing.

Bitter sweet symphony - The Verve
Jonestown Tea - Otep
Wonderful - Everclear
Mad World - Gary Jules
Objects in the rear view mirror may appear closer then they are - Meatloaf
No rain - Blind melon
Hurt - NIN
My body is a cage - Peter Gabriel
Angel - Sarah McLachlan
Requiem for a Dream - Clint Mansell
Last to Know - Three days grace
Burn - The cure
Zombies - The Cranberries
Lovers - House of flying daggers soundtrack
Runaway train - Soul asylum
What its like - Everlast
Wrong side of heaven - Five finger death punch
.45 - Shinedown
In color - Jamey johnson
Long Black Train - Josh turner
Rhiannon and Dreams - Fleatwood mac
Concrete Angel - Martina McBride
Blown Away - Carrie Underwood