[pctrooper]

A lot of my favorite albums are sad. Sometimes when I was really depressed I couldn't listen to anything but sad stuff.

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The Geese And The Ghost by Anthony Phillips

The Silent Corner And The Empty Stage by Peter Hammill

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Last by The Unthanks

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Elliott Smith by Elliott Smith

[Yann]

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What's Going On by Marvin Gaye

[Fischman]

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[Amirkhosro]

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Can't Maintain by Andrew Jackson Jihad

The song EVIL from this album is the first thing that came to my mind when I saw the topic:

"And I will always appreciate bad days like this
Because they grant me a point of reference in regards to my happiness
And although I feel cold and empty one day
I hope I can feel warm and full
Stand with honor and comfort and dignity"

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Untrue by Burial
The ghostly heaviness gives me comfort.

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Crazy Rhythms by The Feelies
Personally always found this album the best one to help deal with heartbreak. Brutally honest account of love, both musically and lyrically.

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Loveless by My Bloody Valentine
The sonic equivalent of escaping to a blissful coma

[Shipyard]

Nick Cave & The Bad Seeds for me is a good example of depressing music, but somehow it always gives me a good mood. I love Cave's music.

[RoundTheBend]

I call these my rain/sweater music... the music you listen to when it's cold/dark and seek warmth from cold/dark things.

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Pink Moon by Nick Drake

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Negotiations And Love Songs 1971-1986 by Paul Simon

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Pisces Iscariot by The Smashing Pumpkins

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Either/Or by Elliott Smith

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Zooropa by U2

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Illinois by Sufjan Stevens

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Schubert: Winterreise by Dietrich Fischer-Dieskau & Alfred Brendel

I swear I'm missing something really good... but I can't remember anything anymore.

[RoundTheBend]

Also the correct answer to the question is American Beauty... and not the album, but the film... it's depressing f*cked up look at the world is somehow life giving.