I'm surprised there's six pages of discussion about this. I just assumed that everyone knew the most depressing song ever written is Gloomy Sunday. Any song linked to that many suicides is a given for the title, I reckon.
Ben Gibbard writes some pretty depressing tunes, though. I haven't heard any of his All-Time Quarterback stuff, but I don't recommend listening to The Postal Service or Death Cab for Cutie if you're already in a bad mood. It'll only make things worse.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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