Two songs that I listened to over and over again, but when I actually paid attention to the lyrics, it made me sick.

"The Invisible Man" by Lush

Press hard
Then you strike
And I think that I'll die
'Cause I can't breathe, can't breathe
Please let me start screaming


"Hold Her Down" by Toad The Wet Sprocket

Take her arms and hold her down...
Until she stops screaming
Take her arms and hold her down...
Until she stops breathing

try Down In A Hole by Alice In Chains
or Mad World by Gary Jules

The Last Day of Our Aquaintance by SINEAD O' CONNOR

Speaking of David Gray :

Nightblindness - i remember hearing this song on White Ladder when i was 14 and it sounded like the saddest thing ever.
Also his 'Lost Songs 95-98' collection features some really depressing stuff.

Kate Bush's "This Woman's Work" is rather sad without perhaps becoming too depressing. Check the wonderful video to see what I mean.

Coldplay the scientist. This song makes my chest feel funny.

the brianjonestownmassacre - the devil may care..................or maybe elliot smith - needle in the hay......both songs are bleak creative moving masterpieces

Defintely elliot smith, his albums are full of sad songs, especially new moon. The acoustic guitar makes it sound even more down.

Dolorean's "Holding On" is the kind of song you listen to in a warm bath with a razor blade.

I'm not much of an Alice in Chains fan but "Rotten Apple" is also a great, depressing-as-hell song.