Ok, depressing stuff is obviously something most of you aren't too well educated on
check out the following:
Godspeed You! Black Emperor (post-rock stuff... you should know them if you know Mogwai. Check out 'F#-A# infinity')
Explosions In The Sky (more post rock stuff... not so much depressing but it really makes me feel lonely. Check out 'The World Is Not A Cold Dead Place')
Empyrium (their early stuff is black/goth metal and is great, but their new stuff is mostly acoustic dark folk-ish stuff and is absolutely amazing. Check out 'Where At Night The Wood Grouse Plays')
Uaral (They create the most depressing music I have ever heard in my entire life. Its absolutely devastating. 'Sounds of Pain' is probably the best release of '05 in my opinion... Definitely one of them)
Mournful Congregation (Absolutely crushing doom metal. Very very great stuff. 'Monad Of Creation' was another one of my favorite '05 releases)
Forest Stream (Black/doom metal. Its very atmospheric... I don't know if it would be considered depressing to everyone but I find it that way. I personally prefer their demo 'Snowfall' over their album 'Tears of Mortal Solitude' but its a lot harder to find than the album. Both are great though.)
Autumn Tears (Dark ambient metal stuff. Very great atmosphere. Mostly centered around keyboards but cool vocals and stuff too. Pretty much just pick up any of their albums. I guess just start with 'Love Poems For Dying Children Part I')
October Falls (Dark acoustic folk-ish stuff. It sounds a lot like Empyrium's later albums. Definitely something to pick up if you like stuff like that. The only album I have is 'Marras')
Vali (Its basically the same type of stuff as October Falls. Definitely worth picking up as well. I believe the only album theyve released is called 'Forlatt')
Apoptose (Dark ambient. Its not quite depressing, but its very dark and the atmosphere is great. I recomend their first album 'Nordland' over their second and most recent album 'Blutopfer')