What is a stand-out depressing song for you?
First there are songs that have some special connection to my life, the time period I was listening to the song vs. what was going on. I can't communicate that stuff, you know, your life experiences are different. I will single out It's All Over Now, Baby Blue here.
Second there are songs that are my favorite depressing songs, but don't bring a tear to my eye. Like when I hear Dress Rehearsal Rag for example, I'm not crying, I'm belting it out. Leonard Cohen does have some great ones, but Scott Miller (Game Theory / Loud Family) is the master of the really great and also depressing song. He killed himself a few years ago. But did he "fire across the temple and out the rear" like in The Waist and the Knees, or was he "out finding some good ledge" like in Slip, or did he just slit his wrists like Slit My Wrists suggests? I met Scott Miller a few times. I always think of that Neil Young song that goes, "And if you never heard him sing / I guess you won't too soon." Or as Scott put it, "Just by chance, maybe not more / We can touch what we live for." Anyway. Tom Waits and Phil Ochs also have some great depressing songs. Guided by Voices of course has some. The Eels album Electro-shock Blues is full of them; he was the master of the uptempo anthemic downer song.
Finally there are songs that actually bring a tear to my eye. The first one I think of is They Should Have Shut Down the Streets, by A C Newman (the New Pornographers guy). It's about the mass grieving that did not actually happen when his mom died.