Pretty much anything by Porcupine Tree
It's pretty hard to decide between Stop Swimming, Heartattack In A Layby, and Sentimental. All three are extremely depressing in their own way lyrically, and they all very sad musically. Stop Swimming is extremely bleak, Heartattack is just stupidly sad (Okay, so theres this man dying in his car... and he doesn't know he's dying... and his family is waiting for him... and he thinks things are about to start getting better...) and Sentimental (along with the rest of the FoaBP album) is the most relatable for me.
Honorable mention: Isolation Years and Ending Credits by Opeth