I listen mostly to punk rock and 90's "grunge" from Seattle... most of it is sad and depressing.
My all-time favorite band is Pearl Jam, and they've always been pretty dark, lyric-wise... whether they're singing about death or depression or war or politics of drug addiction or suicide... whatever it may be... usually very dark.
Here's one of my favorites by them, and it's also one of their darkest songs, lyrically, and one of their heaviest, musically. But I also like it because it shows the direction they went in after the whole Seattle sound obsession blew over and they became a psychedelic art rock kinda band.
http://www.youtube.com/watch?v=sfuxWfVapqw