Listening to Peter Laughner - Take the Guitar Player For a Ride and you can hear his self-destructiveness come out in the music. Especially in such songs as:
"Sylvia Plath" (romanticizing her loneliness and suicide)
"Amphetamine"
"Life Stinks"

Just depressing as hell, but beautifully so.

What are some of your favorite depressing listens?
I expect to see:
American Music Club
Magnetic Fields
Bauhaus
Joy Division

on this list.

Anyone else?
Specific songs, too.

I always found Ida's songs to be kind of rainy days and sundays depressing.

half the music I listen to falls in this camp.

Black Heart Procession (anything before Amore del Tropico)
pop-depressing -- Rob Dougan (check the vids if you don't think it's depressing enough)
Chroma Key -- "Undertow"
the opening note of Jean-Michel Jarre's "Ethnicolor" off of Zoolook is one of the single most saddest sounds ever
Chris Isaak -- like every other song before Baja Sessions (maybe every third song)

I once tried to put together the saddest comp, ever. I was happy with the way it turned out.

The entirety of Big Star's third is as much an honest portrayal of one man's emotional disintegration as Joy Division's Closer or Syd Barrett's The Madcap Laughs - but I don't listen to any of those very often.

I've got a few that fall into this category that I do listen to, though. One in particular is Artful Dodger's Rave On, which was a last gasp attempt by the band to gain some (or any) financial success, and all the songs are addressed to an elusive woman (but, y'see, they're really addressed to that elusive Lady Success) who keeps breaking their collective heart. And it really is heartbreaking to hear them try so hard and fail so completely.

I didn't realize Yaz could be so depressing.

Johnny Dowd- pick one. His cd's should come with straight razors. And I love it all, BTW.

My gf thinks that DBT's Decoration Day is painfully depressing.

When I'm rainy day blue and want to stay there, I've always thrown on Disc 2 of Physical Graffiti. "Down By The Seaside" is pretty depressing.

the whole Strangers Almanac by Whiskeytown

agree with the Big Star recommendation above

Jeff Buckley is depressing for obvious reasons

The Cure - pick a song, any song, but most notably the Disintegration album, which is my favorite
David Bowie - Wild is the Wind, Heroes
Depeche Mode, anyone? Black Celebration?

Beck's slow album fits here as well - Lost Cause in particular

The Smiths - Suffer Little Children

Also,

Steely Dan - Third World Man

alot of Eels 'Electro Shock Blues'

Yeah me too...but my favorite is townes van zandt.

The best part of that documentary on him was in the interview when he was asked why he only wrote sad songs and he replied with a straight face that all his songs weren't sad, some were completely hopeless.

Hard to fuck with that choice. The one time I got to see him live, I was shocked at how outrageously funny his between-song banter and storytelling was. Quite the juxtaposition.

i've heard that Feist is pretty depressing...

She's such a sweetheart though.

I dunno, I guess I find a lot of "depressing" music ultimately redemptive, as they are often cathartic expressions of angst, remorse, unrequited love, etc - but placed in the past tense, for the necessary distance, even alienation from subject matter/actor/listener.

But, Jason Molina/Songs:Ohia/Magnolia tends to always bring me down.

Not usually, but that one song.

Oh, and I should add: Joseph Arthur, "All Of Our Hands"

Pedro the Lion - The Only Reason I Feel Secure (is that I am validated by my peers)

About half of Jimmy Eat World - Bleed American

"Cats In The Cradle"

david gray makes me sad.

drop ~ red house painters
(several red house painters songs, actually.)

Mogwai - R U Still In 2 It

one of the saddest songs i know, so resigned

Andy Prieboy: Upon My Wicked Son (most of it, at least)