Besides Katatonia, I don't often get a depressive/sad vibe from Metal. I think the saddest stuff I've heard comes from bands like Lush, Slowdive, Bethany Curve, Jeff Buckley, Elliott Smith and a lot of post-punk, "goth" rock, shoegaze...etc bands. To me, it just seems more realistic than some band that records in a cave and has a singer who cuts himself screaming(not picking on anyone, but this stuff just seems novelty and not genuine).