Since we have a 'depressing movie'-thread and I'm derailing that with talk of music, I thought we should have a thread for depressing songs as well. I'll go first.
The most depressing song I know is Simon & Garfunkel's A Most Peculiar Man. It's heart-stoppingly dreadful.
As a child, I thought Puff the Magic Dragon was really sad too and started crying when I heard it. My family thought this was highly amusing and used to sing it to me in order to make me cry. I wonder if I could sue them for cruelty or something?