Sad music generally synapses with depressive episodes for me. I usually avoid listening to music (something I hate to do and admit) but it's' usually a pretty strong signal to me that I'm entering an episode when little by little I start listening to songs by Modest Mouse (especially Lonesome Crowded West),
"eyepennies" by sparklehorse.. and the whole album (It's a Wonderful Life)
"suffocation keep" by the slip
"John Wayne Gacy, Jr." by Sufjan Stevens
"The Moon" by the Microphones
"Barnacles" by Ugly Casanova
-the album "Lost and Safe" by the Books.

There's a lot, and I'm not so sure they are depressing songs or they are sentimental of times of depression and loss in my life.