In Flames - Clayman (In particular the songs "Square Nothing" and "Another Day in Quicksand)
Anything by Type O Negative
Any NOLA sludge metal, as Eraserhead mentioned, especially Down, Acid Bath, and Crowbar.
The Cure - (I would say their most depressing album by far is Pornography.)
Warrel Dane - (the song "Brother" off his solo album is one of the most depressing songs i've ever heard in my life.)
Any funeral Doom metal (Shape of Despair, Skepticism, Corrupted, and Thergothon are all great choices in this genre)