Well, since I listen to only one form of music, I listen to the same stuff regardless of whether I'm drunk, depressed, super happy, or p'ed off.
As for songs I listen to when I'm depressed, I'd have to go with Pantera's "Cemetery Gates", or perhaps Slayer's "Seasons In The Abyss", or maybe even Megadeth's "In My Darkest Hour", or perhaps Forbidden's "Chalice Of Blood".