Closer by Joy Division is probably one of the most depressing albums ever in existence, so I third it.
Other than that...
1. Leonard Cohen - Recent Songs
Perhaps Cohen's most depressing album, and that's saying a lot considering that Cohen is so depressing that Kurt Cobain included the famous song lyric "Give me Leonard Cohen afterworld / So I can sigh eternally" in one of Nirvana's more famous songs. Hell, The Smokey Life alone, with Cohen plodding away on his guitar and bittersweet lines like "Let's be married for one more night" should let you know what you're in for...
2. Mogwai - Happy Songs For Happy People
Mogwai's a pretty depressing band at best, but at least Young Team and Mr. Beast have their exhilerating moments. This is pure, unbridled morose post-rock (and I love every minute of it!).
...there's more, like Fevers and Mirrors (Bright Eyes at their most depressing), 95% of Nick Cave's stuff, My Bloody Valentine of course, a lot of Cat Power. But I feel like those two had to be mentioned...