My Dying Bride - For My Fallen Angel
Anathema - A Dying Wish , Lost Control
Shape Of Despair - Angels Of Distress
Tristitia - One with Darkness
thats all I can think of right now ..
Darkseed - Autumn (something has to be said about a song that makes you feel sorry for trees)
Mortal - Muj0 [uncertainty MX]
Dream Theater - Space Dye Vest
Pink Floyd - High Hopes
Lengsel's entire Solace album is pretty depressing too.