Most of these songs I wouldn't say they are depressing but full of sadness/despair.
Nightwish-Dead Boy's Poem
Queen - The Show Must go On (especially since this was the last CD Mercury made)
Black Sabbath - Lonely is the Word/Over and Over
Queensryche - I will remember/Suite Sister Mary
Dream Theater - Space Dye Vest
Rainbow - Rainbow Eyes/Temple of the King
Antimatter - Angelic (pretty much most of their songs)
Dead Soul Tribe - Regret (very upbeat song but none-the-less still sad in its own way)
Evergrey - For Every Tear that Falls
Blackmore's Night - I still remember
Kamelot - Sailorman's Hymn
Porcupine Tree - Trains
Marillion - Runaway Girl
Psychotic Waltz - My Grave
Pain of Salvation - Ashes
...countless too many too list