Good screamo bands:

Alexisonfire (download "Pulmonary Archery")
Circle Takes The Square (download "A Disclaimer To The Self")
Underoath (download "Reinventing Your Exit")
Hopesfall (download "The Bending")
Funeral For A Friend (download "Juneau")
At The Drive-In (download "Alpha Centauri")

Good heavy bands:

Norma Jean (download "Memphis Will Be Laid To Waste")
The Chariot (download "And Then, Came Then")
Every Time I Die (download "Ebolarama")
It Dies Today (download "A Threnody For Modern Romance")
Terror (download "Keep Your Mouth Shut")
Throwdown (download "Burn")
Between The Buried And Me (download "Mordecai")

Good "sad and depressing" bands:

Straylight Run (download "Your Name Here (Sunrise Highway)")
I Can Make A Mess Like Nobody's Business (download "Whispering Actually")
Radiohead (download "How To Disappear Completely")
City And Colour (download "Sometimes (I Wish)")


Hope that helps a little.