Certain songs are only depressing to those who actually think they're depressing. Go Pandora some songs.
anything by staind something i can never have - nine inch nails and i know you already know this: my december - linkin park
Erm...before I give you a list you're not gonna use these songs to try and force yourself into commiting suicide are you?
Cold - Wasted Years Demon Hunter - My Hearstrings Come Undone Evanescence - Hello Nine Inch Nails - Something I Can Never Have (Still Version) Staind - Outside
Billy Holiday - Gloomy Sunday Joshua Radin - Winter. That song is amazing. I'd also suggest most ...And Then I Turned Seven... songs although the guys voice can get annoying haha. Maybe Straightjacket Feeling by the All-American Rejects? But yeah. Definitely that Joshua Radin song
Anything by Diamanda Galas (particularly her cover of Gloomy Sunday). My Bloody Valentine - Sometimes Failure - Stuck On You Failure - Blank Joy Division - Love Will Tear Us Apart Sonic Youth - Candle Bright Eyes - Haligh, Haligh, A Lie, Haligh Finger Eleven - Broken Words Depeche Mode - Damaged People Slowdive - When the Sun Hits Sunny Day Real Estate - In Circles Vast - I Don't Have Anything Dido - Isobel
Beautiful - Creed Say I - Creed Lullaby - A perfect circle (I don't know why) Tourniquet - Evanascence I'll come up with more later and edit
Piano = Depressing Nine Inch Nails - Leaving Hope Gary Jules - Mad World Cold - Wasted Years (piano version) Evanescence - Hello I know the last two have already been mentioned, just reiterating them. And if you're going purely on sound, here's a Japanese song that I find depressing. Utada Hikaru - Final Distance
Just because you don't find it depressing, or because the song is meant as a love song, doensn't mean it's not depressing to someone who can't find love (the topic the song is based on). You see what I mean?