I don't really get depressed by doom metal but I can really recommend My Dying Bride's 'The sexuality of bereavement'. An oldie, from their brilliant EP entitled 'I am the bloody earth'. It's a very oppressively depressing song, truly morbid, heavy and slow, but with those amazing brittle melodies covering the layer of extremity. In soothe I lend a gracious ear Your sobbing, somehow sexual Come to my bosom. The help I bring Is all my pleasure you lonely, dear thing Oh, cruel love, when held by you My sanity does fly You lie there mourning with looks of desire 'T is beauty when you cry Drink my grievingg love Desire and wine go well Sleep, I'll watch over you Relief? Time will tell Secrecy fosters passion You stay untouched I know you are alone With peace I care much Also 'Low man's lyric' by Metallica. That one really hurts the heart.
Anything by Simon & Garfunkel. I like them and all (in fact, I'm listening to them now) but even their happy songs depress me for some reason.