Sad music.

"The Night They Drove Old Dixie Down" by THE BAND

Wendy Matthews - 'The Day You Went Away'.

I... uh. I have this thing for funeral music. You know, music they play on TV or in movies during a funeral scene. And I listen to them when I'm in the mood to cry and mope about.

Sarah McLaughlin is like the queen of funeral music. It must give her some morbid sense of pride. In any case. "Dirty Little Secret" by SarahM makes me cry and stuff. And Natalie Merchant's "My Skin" is good for the moping too.

Goodbye My Lover by James Blunt

Bob Dylan. Sad Eyed Lady of the Lowlands is a good choice for that.

Jeff Buckley's cover of Hallelujah. It gets me everytime I listen to it, it just moves me.

Portishead

Several things by Sarah McLaughlan, Eva Cassidy's version of Time After Time, The Day The Music Died by Don McLean, Johnny Cash's cover of Hurt could count but I find it uplifting as well as sad, and a whole bunch of stuff by Staind.

"Send In The Clowns" -- Judy Collins.
"Yuki No Hana" -- Mika Nakashima (if you're into Japanese stuff)
"Hallelujah" -- I find the Rufus Wainright (sp?) version sadder than the Jeff Buckley one, but that's just me.

I usually get depressed when I listen to anything by the shoegaze band My Blood Valentine.