Stolen car by The Boss. I fucking love this song. It makes you want to get married just so you can go through the same shit..
And my go to choice for most depressing song ever has always been Leo Ferre - Avec le temps but it's french so you might not get much out of it. Old man sings over heartbreaking piano about how with time, everything fucking sucks and you die alone and miserable. Amazing.
Also Leonard Cohen's Hey that's no way to say goodbye.