Try "Gloomy Sunday."

Urban myth has it that 10-20 people listened to that song, then killed themselves x.X

It IS a pretty depressing song though, about some guy (I think?) that loses his love and decides to kill himself as well, very Shakespearian.

Give it a shot if you're into that sorta thing.

On a more contemporary note, Dashboard Confessional's "The Brilliant Dance" works well for me too.

And I <3 Helena...though it's a bit too fast paced to strike me as being particularly sad.