Hrm anything Goth should do it, which means:
Bauhaus, Sisters of Mercy, Joy Division, Cure, Dead Can Dance, Black Tape for a Blue girl, Unto Ashes, Bella Morte and The Cruxshadows
And non Gothy depressing stuff and stuff that is generally moody and introspective:
Depeche Mode, Nine Inch Nails, Type O Negative (very tongue in cheek cheesy), Rammstein (some stuff is very moody and sad), Peter Murphy, Smashing Pumpkins, Love and Rockets,