I thought I knew depressing songs and had several to choose from when compiling this list, but I made a last minute change to this Townes Van Zandt lament after just one listen.
Man, Marie is rough, and utterly depressing. This story of an unemployed man with a pregnant girlfriend who dies in the cold is also harrowing and plainly beautiful. I dare you to find a sadder song. Post it as a comment if you do.