Seventeen Seconds, Faith, and Pornography are the coldest and most lifeless, but you really should listen to the pop albums too, (most) of them are amazing - Japanese Whispers, Head on The Door, and Kiss Me Kiss Me Kiss Me in particular. Bloodflowers and Disintegration are a different breed because instead of being cold like three I first mentioned, they are more just melancholy and sorrowful, Disintegration the most so.
edit: I also like the dodgy attempt at art-punk of their earliest years (Three Imaginary Boys, Boys Don't Cry)