Red light by the Rumour Said fire

The Smiths - This Night Has Opened My Eyes

no surprises by radiohead always gets me in the whole swandive out the window mood xxx

Kettering by The Antlers is one that I like to listen to it when I'm in that sort of mood.

There's a video on youtube of Little Motel by Modest Mouse, I don't think it's the official video but it's literally the saddest thing ever.

Kristin Hersh
Me and My Charms
You can't leave me now
I haven't left you yet

Red House Painters
Drop
i'd like to come home to see you
and embrace your illness under soft light
but then you'd know how much i really need you

Aimee Mann
It's Not
so baby kiss me like a drug, like a respirator
and let me fall into the dream of the astronaut

Cat Power
Colors and the Kids
must be the colors and it must just be the kids
that keep me alive on this January night

I'd say Steven Wilson-Routine so depressed :(

^^^ Several Steven Wilson songs are serious contenders for this honour, but I think it would be hard to go past:

Gilbert O'Sullivan - Alone Again... Naturally

Another one I could think of is "I'm not gonna miss you" by Glen Campbell, the context is just depressing enough to the make the song a hallowing cry for help.

Jaymes Young - Moondust