When I'm REALLY depressed, I usually go to these albums (yes, I'm an album person):
John Lennon - Walls & Bridges (or more specifically alternate versions of the tracks - cursed mid-70s production!) - sometimes Plastic Ono Band also works, but it depends on what sort of depressed I am
Leonard Cohen - Songs of Love & Hate (and most of Ten New Songs)
Bob Dylan - Blood On The Tracks, about 1/2 of Time Out Of Mind as well
Nirvana - In Utero
Beck - Sea Change
and when I REALLY want to twist the knife and I'm in a particularly depressive mood: Beach Boys - Pet Sounds (though this album also works exceedingly well in a good mood)
About 1/2 of R.E.M.'s Automatic For The People
Radiohead - Kid A
The Who - Quadrophenia
If I'm lovesick depressed, I'd also toss in:
Derek & The Dominoes - Layla & Other Assorted Love Songs
Other individual tracks that work well:
U2 - So Cruel
Bob Dylan - Most Of The Time
Beatles - Strawberry Fields Forever
Paul McCartney - Back On My Feet
Paul Simon - Graceland
This is off the top of my head (should I be concerned so much of this is off the top of my head??)