Sad day, I just looked up the lyrics to Cats in the Cradle - I just realized how much I don't listen to lyrics
Elliot Smith is a good pick, but I think his stylistic predecessor, Nick Drake takes the cake. You guys have heard the lyrics to 'Suicide is painless', right? You can guess what it's about.
And if I could include a modern pick for 'really really depressing song', how about Sufjan Stevens - Casimir Pulaski Day. It's just heartbreaking. Its simply about a friend dying and questioning your faith as a result, but it's powerful stuff.
alice in chains has some pretty good depressing songs.