"Depressing" music is one of those genres/styles I just don't get. I mean quite a few of the songs mentioned here are simply what I would call 'good', 'emotive', 'powerful' etc, but not depressing.
"Fade to Black" by Metallica for example. I love the outro (5min+) to that song, and find it hugely uplifting. "Iris" is a beautiful track and it certainly doesn't make me feel down.
I think maybe people associate certain pieces of music with depression because they happened to listen to it at a time when they were feeling depressed - i.e. it's not the fact that the music is intrinsically depressing, it's more a question of it stirring up past memories and emotions.
Some bands get branded as depressing, such as Radiohead and The Smiths. So why don't they make me feel depressed?