The most depressing song you can think of.

Bobby McFerrin's "Don't Worry, Be Happy". No?

Okay. Metallica "Fade To Black", and any Pelican, Isis and King's X's "Cigarettes".
 
[ame]http://youtube.com/watch?v=sB_wCYF4BCM[/ame]

^that because it makes me sad to know a good band could become so bad
 
The most depressing song I can think of is probably Black Sabbath by Black Sabbath.

Not sad so much as eternally haunting, I think.

Eternal Tears of Sorrow - The River Flows Frozen

That's a great song.

As far as other recommendations go, I'd say most Virgin Black songs are pretty depressing:

Museum of Iscariot
The Kiss of God's Mouth (pts. I and II)
A Poet's Tears of Porcelain

Also, My Dying Bride's "For My Fallen Angel."
 
Death, Come Near Me - Draconian
[ame]http://youtube.com/watch?v=6R7jSfLpk7Y[/ame]

:(
 
Frogs and Rooster by Alice In Chains. I'm not really sure why. Also, Starkweather's Murder In Technicolor sparks a life-reflecting sadness in me for some reason (wow that sounded really gay).
 
Eternal Tears of Sorrow - The River Flows Frozen

What an awesome fucking band. I really need to pick up a couple of albums by them.

I'm really surprised no one has mentioned Burzum. He was the first thing that came to mind when I read this. Even his ambient albums had very depressing tracks, mainly his last one.
 
I was just listening to this song by Agalloch and realized how depressing it is. One of my favorite instrumentals tho'.
 
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Katatonia - Brave

That riff at 1:50 is about as depressing a riff as I think there is.

But equally as sad is the first minute of Endtime off the same album.

I really feel that the song Von off Satanic Blood is incredibly sad. I get a sense of isolation in that song as well.