Even more than Clocks by Coldplay, Speed of Sound by the same band (which has many similar elements) is more depressing. Once or twice in a row is about all I can stand.
I would also have to say that Disarm by Smashing Pumpkins tops the charts for me in terms of its depressing effects.
But other than that ...
Cats in the Cradle - Harry Chapin
Puff the Magic Dragon (great
song, but depressing nonetheless)
Also, the soundtracks to Forrest Gump and Cast Away by Alan Silvestri are quite depressing (but are works of art).
Although, overall, I'm a punk rock and alternative rock kind of guy. I do like virtually all kinds of music, except country and (c)rap(e), of course.