Kostya, i might be another cold-blooded bastard who goes to the pictures...
there are movies that depress me, but surely not really any among the ones mentioned by the majority here...
Oh I have to add 'dancer in the dark' is by björk, yes. (I remember someone was not sure in one of the earlier posts)
Then again, I don't think movies that gives you a weird/empty/speechless feeling go into the depressing category... so I can't think of too many really depressing movies. If you want movies that gives a true weird feeling, feel free to ask me though (my recommendations might be crap for whoever wants to know, but why not giving it a try?)
p.s. I know my signature makes me look like someone who hates film and cinema... no I don't.