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Hurt is a depressing song, yes. But I think NIN's most depressing song is off the first album: Something I can never have. Nick Cave & the Bad Seeds have an array of depressing stuff to chose from. Top of the list I think is 'Do you love me?' the 2nd version.
Good list here, I agree on Springsteins' 'Philadelphia' and also Billy Joel's 'And so it goes'.
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