The problem with depressing music is it's almost never the right thing to be doing. Whenever we're happy we're too happy for sad songs, and whenever we're sad we shouldn't be listening to sad songs! Bah..
Anyways, I second Mr.Beast, although I disagree that it's a depressing album. I feel it's moody, and definitely provokes some mellow emotions, but the music itself doesn't strike me as sad. Whenever I listen to Mogwai I get nostalgic.
I think I'd recommend Death Cab For Cutie - Transatlanticism for just being sad. It starts out sad, the title track is epically sad, and the ending number usually makes me teary-eyed. I mean it is goddamn SAD. Also arguably their best record, so it's worth listening to when you're happy, too.
I'm not entirely sure what the QC forums' views are on Brand New, but Deja Entendu is an almost cliche depressing record. Wait, COMPELTELY cliche.