Or "Frühlingsglaube" by Schubert. A strangely sad song--in a major key!
How on earth does that qualify as a depressing song? I sang that ages ago!

Ever hear Schubert's "Romanze" - the vocal piece with the clarinet accompianment? I absolutely adore it. (Coincidentally, it also qualifies as a pretty depressing song..) The very first line goes, "I linger restless all alone...", etc., etc.
Anyways, onto depressing repetoire...
Quite honestly, Liszt or Beethoven doesn't really do it for me in that sense - I usually sense this..dismal FRUSTRATION, controlled chaos (at times)...never a pure, lasting sadness. By the end of the piece, I've usually feel resolved, not sad!
Any requiem most certainly will qualify as depressing....
Mozart's is my favorite, of course. Who can hear the "Lacrimosa" and not cry? (And I know this comment is going to make me look absolutely insipid, but it was actually used on an American Cartoon show called "Hey Arnold" when one of the characters was in a depression. Everytime you'd see her sobbing her eyes out in a dark room, the music would come on...hilarious!)
There is a relatively obscure piece from Tchaikovsky's Nutcracker (people don't necessarily associate it with the ballet, that is)...it always makes me emotional.
I made my own transcription of it for the piano, if any of you are interested.
Here it is.