Welcome to the Machine by Pink Floyd.It makes me think about some really lousy jobs I've had when I was younger. ~peace
"Learn to be lonely". No idea who sings it. It was on the sound track to the new phantom of the opera.
I'd have to say Hurt too...although Mad World by Gary Jules is pretty damn depressing too...Manson's Coma White makes me cry sometimes...
Any explicitly national-socialistic band depresses me. Same goes for drone, like Sunn O))). Those bands don't make me cry but rather put me in a sombre mood. I could mention Bells for her by Tori Amos and Sear me III by My Dying Bride but those songs are very beautiful as well as very sad so I don't think it's depressing per se, rather tear-inspiring. I guess it depends on how you interpret 'depressing'.
"Let the sunshine in" I don't listen it often, It's so sad......But It's great...great... I cried so many times on this song