I have that special gift of being able to be miserable no matter what I'm listening to, but there are certainly a few albums and/or songs that can bring misery, longing and other such things to a new level. Here are a few:
Songs:
Soundgarden - Zero Chance
Soundgarden - Tighter & Tighter
My Dying Bride - For My Fallen Angel
Agents of Oblivion - The Hangman's Daughter
Anathema - Angelica
Anathema - Regret
Alice in Chains - Frogs
Hypocrisy - Slippin' Away
Albums:
Alice in Chains - Any album
Back when I was in high school (95-99), Alice in Chains were a depressing listen on a more personal level. But now when I listen to them, it's more of a depression of knowing I'll never hear new music from them.
Cold - 13 Ways to Bleed Onstage
Kind of a guilty pleasure here. There are certain albums that I associate with a period in my life. I listened to this album a lot back in 2001, which wasn't a real great time for me for various reasons. Now whenever I hear it, I kind of go back to that time. And I think an even more depressing reason is the fact that 5 fucking years have passed. It's unbelievable how fast the years are going by.
Amorphis - Elegy
This album just has a very cold atmosphere to it. The very first time I heard it, I was driving around on a miserable freezing day in January about 3 years ago. Even if I listen to Elegy in July, I would still think Winter.
Tori Amos - Little Earthquakes
I don't know what it is about this album, but I can barely get through it. I'm not even really a fan of her, but this album just hits a soft spot for some reason.
Deadboy and the Elephantmen - If This is Hell, Then I'm Lucky (Demo Version)
Most people probably haven't heard this, but this is one of the best albums I've ever heard. Dax Riggs, formerly of Acid Bath, has one of the most heartfelt voices out there. This album is mostly acoustic, laid-back music with a really dark vibe to it.