My top 10 most depressing songs...
(in no particular order)

Moby - Porcelain
Live - Lightning Crashes
Madonna - Take a Bow
Smashing Pumpkins - Landslide (or Fleetwood Mac)
Gary Barlow - Open Road
Cathy Dennis - Too Many Walls
Alanis Morrisette - Uninvited
Portishead - Sour Times
Jars of Clay - Sinking
Talvin Singh - Traveller

Actually ALL of the Jars of Clay songs from the 1st and 2nd albums.. Hrm. May not be the best list; I'll probably think of some song later or hear it and think oh! that should be on the top ten...