I don't know if I can single out a song but English band The Smiths put out some pretty depressing music in the 80s.
From time to time I have heard some pretty un-encouraging metal music with titles such as "Live to Die". I think a lot of hip-hop is pretty negative too.
The Beatles 'Yesterday',music to throw yourself under a train to.
Rob
HAHAHA good one Rob seems that The Beatles are much more popular outside of the UK
Michael Martin Murphy's "Wildfire". The girl dies, her horse dies, and the singer will apparently be dead soon after the song ends.