anything by radiohead, since many people think they are "depressing"... but my favorite is "exit music (for a film)". i'm also a fan of grandaddy, especially "saddest vacant lot in the world". it's a pretty sappy breakup-type song.
Konstantine- Something Corporate Photografia- Juanes feat. Nelly Furtado (I find it sad.. it reminds me of my long-distance relationship) Graduation Song- Vitamin C Cathedrals- Jump Little Children What a Good Boy- Barenaked Ladies Call and Answer- Barenaked Ladies When I fall- Barenaked Ladies Everybody Hurts- REM Tears in Heaven- Eric Clapton Brick- Ben Folds Five Round Here- Counting Crows Hurt- NIN Retrovertigo- Mr. Bungle Iris- Goo Goo Dolls Anna's Song [Open Fire]- Silverchair Freshmen- The Verve Mad World- Gary Jules Seasons of Love- Rent soundtrack All of those make me cry for various reasons. There are more but I can't think of them right now =P
just remembering more..... "stand inside your love" -smashing pumpkins "love will tear us apart" -joy division "ill be your mirror"- velvet underground "pale blue eyes"- velvet underground anything by jeff buckley
neil youngs always good for something depressing. to pick a song, id say needle and the damage done would be the best i can think of at 5am
This isn't really depressing, but when I used to get depressed, I found the best way to come out of that was to become stupidly angry. Meatloaf's "Life is a Lemon" is perfect for that.