The most depressing song you can think of.

My Girlfriend's Girlfriend is my fav.:) classic

the video is just as great also.
 
October Rust is terrible.

I would say most songs off World Coming Down
Almost anything on Katatonia's last three albums
Alice in Chains - Rotten Apple
 
the most depressing songs I've heard
->i died for you (iced earth)
->black sabbath (black sabbath)
->funeralapolis (electric wizard)
->oceanborn (nightwish)
 
I think he meant it was depressing, as that's when they "sold out" and different then their earlier material.
 
I don't think Metallica ever "sold out," but I definitely don't think that Load and Reload are metal albums.

They show Metallica maturing and choosing to pursue a new direction in their music. There's nothing to indicate that they did it in order to sell more records. They were already millionares from The Black Album. They did Load and Reload because they wanted to play raunchy, ballsy, and fucking awesome heavy hard rock. And they did it well. Then a bunch of their hardcore metal fans claimed they "sold out" because they weren't playing the music that they liked anymore.

I always embrace change in a band, especially when they pursue a more refined and mature path like Metallica did (songs like Mama Said and Hero of the Day are just genius).
 
Evoken -tragedy eternal is one of the most depressing songs ever. Embrace The Emptiness is one of the most interesting and well crafted albums i've heard to be honest.
 
A Perfect Circle - Judith/Blue/Magdalena/The Nurse Who Loved Me
Katatonia - My Twin
Porcupine Tree - Trains
Antimatter - Ghosts / Leaving Eden
Pearl Jam - Once / Black / Garden
Radiohead - Climbing Up The Walls
Agalloch - The Lodge

Metal hasn't ever really sounded depressing/sad to me.