Metallica's Fade to Black, it's actually about suicide but it's still depressing
Marilyn Manson's acoustic cover of Nine Inch Nail's Terrible lie, most depressing song I've ever heard in my life, but it's really rare so don't expect to find it easily.
Manson Coma Black, Coma White, and Lamb of God.
I know I have a lot more I just can't think right now.
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