Awwwww Everytime, I was gonna say the Hanson song!!

The Reason-Hoobastank
Ana's Song (Open Fire)- Silverchair

More or less depressing for personal reasons, although Ana's Song is a downer.

Dr Hook - Kiss it Away

There's a shadow on the sun
I see it rising
Kiss it away, kiss it away

And there's a hurt down deep inside
That I've been hiding
Kiss it away, kiss it away

Now the hard times
We've been through oh babe
We never mind them
We just kiss them away
We just kiss them away

And now I'm looking for the good times
I can't find them
Must have kissed them away
Guess we've kissed them away

I keep thinking the sun will shine once more
I'm never ready for, the sudden rain
Don't tell me I'm wrong
Cause I've been told
I'm so wet and cold
Can't kiss away my pain

You keep hoping things will change
And I keep trying
One of these days
Baby one of these days

But there's a coldness in the air
Like something dying
Kiss it away, kiss it away

There's a coldness, a coldness
Like something dying
Kiss it away, take it away

I've got a feeling, a feeling
Just like I'm dying
Kiss it away, kiss it away

etc...

This is an acoustic song, just him and the guitar and by the end of the song you can really hear the emotion and strength... he is practically in tears.

Spanish Boots of Spanish Leather by Bob Dylan. I associate it with the death of a childhood friend. His father played it over and over for weeks after his son died.

Two more -- If I Laugh, and How Can I Tell You, by Cat Stevens -- love not quite attained

To me the most depressing songs are always about love lost.