I won't go ahead and name the most depressing song ever, because that will be different for every person based on their life experiences and stuff. For me it's probbably Something I Can Never Have by NIN, or Black by Pearl Jam.
Good depressing tunes from my playlist, the ones you don't have I'd highly reccomend:
Sublime - Pool Shark (acoustic)
Stone Sour - Bother
Staind - Excess Baggage
Sneaker Pimps - Destroying Angel
Sneaker Pimps - Blacksheep
Pearl Jam - Black
Smashing Pumpkins - Soma
Strait Up feat. Lajon from Sevendust - Angels Son
Red Hot Chili Peppers - Under the Bridge
Nofx - Whoops, I OD'd
Nine Inch Nails - Something I Can Never Have
Marilyn Manson - Coma Black
Leonard Cohen - If It Be Your Will
Finger Eleven - Broken Words
Devin the Dude - Tough Love
Cold - Ugly
Alice in Chains - Nutshell