Novembers Paul said:
Yeah, actually. Easily the most depressing thing I've ever heard, anyway.
The 2nd movement of Ravel's Piano Concerto in G Minor is a very close second.
Kevin Gilbert's "Song for a Dead Friend" actually is the closest to tear-jerking thing I've ever heard (well, with vocals anyway). Some kind of folk I guess. It's an extremely depressing vocal/piano thing. If you've ever had a friend that died I defy you not to cry like a baby.
As for rock/metal, hmm...
Novembre - Nostalgiaplatz (one of my top 3 bands ever
)
Pain of Salvation - Undertow (spinetingling vocal performance and even the lyrics are damn good - practically everything on TPE1 and RL could qualify here, this is just the most depressing IMO)
Glassjaw - Everything You Ever Wanted to Know About Silence (this band is just amazing, and this song especially never fails to give me goosebumps)
Finger 11 - Famous, Stay and Drown (despite turning into a horrid turd of a pop rock band their second album is seriously one of the most depressing things I've EVER HEARD)
Novembers Doom - Last God (sheer aural death - they have several other songs that would make this list but none of them are as crushing as this one)
Anathema - Last Goodbye, Are You There?
Katatonia - Saw You Drown
Jeff Buckley - Lover, You Should Have Come Over (this is the best song ever written as far as I'm concerned)
Opeth - To Bid You Farewell
Type O Negative - World Coming Down (I love this band)
Honorable mentions:
Rapture - Gallows, Transfixion
Lots others I forget