Jeff Buckley, but I listen to him even when I'm very happy. Dylan is always good when youre sad, also The Doors and The Beatles. I have to listen to calm, mellow music when I'm depressed. The hard stuff is for the better days.
If I want to be uplifted - Bob Marley, Pink Floyd's Dark Side, latter-day Flaming Lips, Beatles, Yes If I want to wallow in discontent/anger/depression - Tool, Nirvana, Pink Floyd's Animals & The Wall, some King Crimson
The best to build you up is Songwriting Dylan/Van Morrison/AniDiFranco and of course Johhny Cash.The voice in acoustic music calms and the wise lyrics help you to lift ya head again. Sometimes it feels also great to drown yourself in Depression (Radiohead, R.E.M,the Cure).Enjoy being depressed,see the positive aspect in it. The only ridiculous thing you can do when you're down is listening to happy music.Makes you feel kinda stupid and doesn't really fit in the mood.