Good choice. I've never been a fan of Cohen's music, but he writes some incredible lyrics.

Pretty much every song by Sopor Aeternus hits me in a strange way.

Pretty much anything by Stabbing Westward I find to be horribly depressing.

Not so much now, but this used to be true for me. They single handedly changed the way I view music. Before I had discovered them I mainly listened to what my sisters did (mainly 80s butt rock). They somehow single handedly changed my entire view on music and were the first band I found to be so crushingly honest that listening to them became essential.

Joy Division- The Eternal

I have not heard a song more depressing then this, and knowing the story of the lead singer makes is worse.

Indeeeeed.
Also, Elliot Smith's "Alphabet Town".

Konstantine by Something Corporate, is a real sad one for me.

hallelujah by jeff buckley for me

Creep, Karma Police, and Street Spirit (Fade Out) by Radiohead are all really depressing. Thom Yorke's voice sounds like he's always sad.:(

It's called a falsetto, son.

If choo wanna listen to a real sad song, check out Bob Dylan's ode to Blind Willie McTell. Very beautiful.