You should really check out this album. Could be that it's totally not your cup of tea (my housemates hate it), but at least check out How It Sounds (starts at 10:51):
Also some other great depressing songs on this one. Most of their repertoire is a lot more positive than this album despite being mostly focussed on what's wrong with the world, but if you want something depressing you can also check 'Oh Sister', and a happy end to depression in 'Monsters get Slain'. They have much more great songs, I don't know if it sticks but they became my favourite band recently, with unhappiness with the state of the world as main theme but always with hope on the horizon and with a message of love despite everything. Also great when you need inspiration (The Road Goes on Forever, The Moon Will Rise).