I would agree with the previous statement about Joy Division. Their stuff is probably most depressing music ever made. As pointed out, the lead singer hanged himself. Some of that carried over into the next incarnation of that band, New Order. I always thought the most depressing (and somewhat Cthulhu-esque) song was "Digital". "Isolation" comes close.
Stabbing Westward is pretty depressing too.
Aimee Mann can be depressing, to the point of being a bit whiney.
I always found Type O Negative to be a bit tongue in cheek, or campy.
(Also, to the previous poster that said Orbital was trance, it's not trance! <Shudder>. Orbital is techno! Techno techno techno! Halcyon + on + on is somewhat trancey, but that's it, AFAIK (that's also their only decent song, IMHO).)
Trance is more Paul Oakenfold, Tiesto, Ferry Corsten, Armin Van Buuren, Paul Van Dyk, though they tend to play more than just trance (especially PVD, though all his own stuff tends to be trance).
Sad trance songs:
Elan - Find Your Way (Van Gough Blissed Mix)
Pulser - Cloudwalking
Perpetuous Dreamer - Sounds of Goodbye
Jose Amnesia - Last Sunset in Ibiza
Havana - Totally Eclipsed
Schiller - Dreams of You (most his stuff is actually pretty depressing)
First Life - Burst into Fire (resurrection mix)
Sasha - Arkham Asylum
There's a lot more - I'm more into the happier stuff...
Uplifting trance songs:
Sureal - Take My Breath Away (& most other songs by Lange)
D-mention - Daydream
Tukan - Light a Rainbow
Lexicon 4 - Reach me
Orinoko - Island (Thrillseekers Remix)
Most stuff by the Space Brothers (and their dozen or so aliases)
Most stuff (or remixes, really) by Trouser Enthusiasts. They even manage to remix Joy Division's Love Will Tear Us Apart into something almost cheerful...
That's just off the top of my head, anyway...