Reading the lyrical content on these kinds of works helps a lot, as it does with reading librettas for Operas (the CD I recommended does come with this).
A soprano or tenor might not be singing in English, but comprehension of their words will open the music up for you remarkably.
Unlike many other forms of music, this is vital to the understanding of western art music - it opens the compisition up to the listener that much more, as 99.9% of compositions, especially that of older (e.g. Baroque, or Early Music) have a clearly defined purpose.
I also recommend (but not for melancholy as such)
this recording of Mozart's Requiem. This kind of work is infact a "death mass", or "religious mass for death", and this work of his is extremely powerful. In some sections, I can almost imagine souls in heaven and hell, it is such visual music, brilliantly written only by someone so stark raving mad as Mozart could be.
The musicianship and recording is simply mind-blowing, vocal work is stunningly
powerful. A must-have.
My favourite sections for example:
Track 3 - "III. Sequenz 1. Dies Irae (Allegro assal)": the singing drives this movement entirely imo. A crushingly powerful wall of soprano voices supported by their tenors crying to heaven:
"King of majesty tremendous,
Who dost free salvation send us,
Found of pity, then defend us".
It is so powerful, it reduces me to tears almost every time. You cant do anything but sit back in awe, it's THAT fucking amazing. Music at its purest and most uncomprimisingly powerful best.
Track 7 - "III. Sequenz 5. Confutatis (Andante)", a thunderous, super-tight, almost galloping movement of the deeper strings, with heralding trumpets and booming kettle drums. Fucking dark as hell.
As you can tell by my babble above, you just must buy this CD. It's too fucking good to not own.