I immediately thought of this album:

Depressing in a "this world sucks major ass" way.
I agree with
The Final Cut, but not with
The Wall. TFC has
Your Possible Past and
Fletcher Memorial Home and
Southampton Dock on it. While TW has
Mother,
Don't Leave Me Now,
Goodbye Cruel World,
Nobody Home,
Comfortably Numb (which has lost nearly
all meaning for me, unfortunately),
Stop and
Outside the Wall, it also has
Happiest Days of our Lives,
Another Brickin the Wall (Pts. 2 & 3) (again, lost all meaning for me),
Young Lust,
Bring the Boys Back Home,
In the Flesh and
Run Like Hell - those songs detract from the depressiveness of the album, to me. I still think it's a brilliant album. Just not a, categorically, depressive album.
Animals is such a "fuck you" to society:
"You have to be trusted by the people that you lie to,
So that when they turn their backs on you,
You'll get the chance to put the knife in." - Dogs
"Big man, pig man, ha ha charade you are.
You well heeled big wheel, ha ha charade you are." - Pigs (Three Different Ones)
"What do you get for pretending the danger's not real.
Meek and obedient you follow the leader
Down well trodden corridors into the valley of steel.
What a surprise!" - Sheep
And pretty much all of Pigs on the Wing.
Ok, stepping off my Pink Floyd high-horse.
Other depressive albums, for me:
Can I even mention this band on the QC forums? Should I risk the ridicule and shame from my past likings (and continued guilty pleasure)?
Dashboard Confessional -
So Impossible EPYeah, yeah, I know. You don't need to preach. I know. Trust me, I know. They were a past love. Kinda like your first girlfriend - you never forget her. That's what Dashboard is like to me. I've moved on, but I've never forgotten.

Especially the title track. Oh, man...

Another guilty pleasure. I don't listen to it often, but it's killer.

A bit of redemption? Seriously, my favourite Mogwai disc.
Mogwai Fear Satan is probably on my all-time top-10 list of favourite tracks. Probably.
I think that's all I have, for now.
I certainly have a veritable shitton of "most depressing tracks," should anyone choose to start a thread like that.
Cheers.