Joy Division is probably the most depressing band ever (imo). They are supposed to be part of this .. "dark wave" scene of the late 70s early 80s, but their sound was quite unique to put them in a specific genre. Just melodic rock with "to cut your wrists" melodies and really depressing atmosphere. Ian Curtis (the singer) always sings like he is in the edge of a suicide attempt, and finally he made it (and it was a successfull one too). His lyrics were painfully sincere too, amazing lyrics really. "Closer" is highly recommended, download "Decades" (the song) first to get a good picture of what i mean.