Gloomy Sunday, it's not called the "Hungarian Suicide" for nothing you know There are tons of covers of the song in both English and Hungarian as well as two different version of the song in Hungarian.
Kusoyaro: We don't need a leader. We need to SHUT UP. Make what you want to make, don't make you what you don't want to make. If neither of those applies to you, then you need to SHUT UP MORE?
http://www.youtube.com/watch?v=f8hT3oDDf6c&ob=av2e Alice in Chains, Down in a Hole. Old but good. http://www.youtube.com/watch?v=cs-XZ_dN4Hc Pearl Jam, Black. A little less obvious, but the despair becomes evident later, though the lyrics are a little odd to hear due to pearl jam being near-impossible to understand sometimes. (in my opinion) two of the sadder songs I immediately thought of.
There are tons of songs about despair from tons of different genres, what genre are you looking for? Personally I'd recommend early Swans. Nobody Coward