... so are we just looking for simply dark and doomy bands here, or the bands you really need to keep you from offing yourself? Because Novembre, Sentenced, and especially Nevermore don't strike me as all that sad or depressing...that Cathedral album kept me from killing myself back in 93 or so, so I'm not talking music that you listen to to enjoy when I talk about 'sad and depressing'...
also try some In the woods... (the late works,they aren't very very dark,but they have a unique and at some parts sad atmosphere),green Carnation and Dolorian...
check the first 2 albums "seasons" and "stormbirds" if you like the more gothic elements, if you like to listen to more samples going into the ebm-scene (not really, but it tends), check the newer releases.
theatre of tragedy (but i think you know them already)
me....i personlly love melanocholic/sad metal (doom metal). But here are a few groups that i love, Lacrimas Profundere, Estatic Fear, and Novembers Doom. Well thats all i can remember right now but if i remember any other group ill let u know.