Even though the point of this thread is (I guess.) outdated, I might as well contribute some fucking depressing music here.
The first thing which came to my mind in this thread would be 'Tallulah', by Sonata Arctica. Not only are the lyrics very fitting but those guys are simply
good in stirring up emotions in you.
After some more thinking, both Opeth and Stratovarius feature two very depressing songs as well.