To be honest, i listen to goth rock and Industrial a lot so....lol...The list could go on for ages so ill just leave those two here.
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"A Year From Now" -Across Five Aprils
"I'm Lost Without You" -Blink-182
"Jesus Christ" -Brand New
"Space Bound" -Eminem
"I've Got A Dark Alley And A Bad Idea That Says You Should Shut Your Mouth" -Fall Out Boy
"My December" -Linkin Park
"Broken Sound" -New Found Glory
"Audience of One" -Rise Against
"Discovering The Waterfront" -Silverstein
"Here Without You" -3 Doors Down
I don't generally listen to depressive stuff but this is the closest it comes to that
Winterlong - Driven By Insanity,Saxon - Calm Before The Storm,Manilla Road - Flight of Ravens,Tank - Honour & Blood,Demons and Wizards - Path To Glory,Saigon Kick - Come Take Me Now
Pretty much anything by Nirvana or Joy Division. A lot of people think that Nirvana is the saddest, however if they ever heard anything by Joy Division, there's literally no songs that express happiness. More songs include
Hurt - Johnny Cash
"All My Love" - Led Zeppelin
I always found "Wish You Were Here" by Pink Floyd sad, but I suppose you have to see the documentary to understand why.
I always found "Eleanor Rigby" by The Beatles really sad too.