The most depressing album in history has to be Ralph Towner's Blue Sun. Ralph founded the group Oregon and played on Weather Report's landmark album, Sing the Body Electric. Ralph's twelve-string guitar work is absolutely gorgeous, but the album is as spare and dark as it can be. I believe Ralph wrote the music for the album shortly after his father died. It's definitely worth a listen, especially if you like your music to take you to a very lonely, haunting place.