dark, or deep anime music. None of that happy stuff please.

Come on....no one? Please help me out here.

You can't be serious! With all the anime buffs no one can gimme a hand here??

You should probably make a thread about it in the anime discussion section, but first do a search to see if it's already been done. The same thing has been talked about in the videogame section, so it's probable it has happened there too.

Better late than never, right?!
Yeah, there was a similar thread in the vgm section a while back, I DL'd most of those suggestions & there was some good stuff! In terms of anime;

Fullmetal Alchemist: Tune of Separation
Fullmetal Alchemist: Brothers
Fullmetal Alchemist: Sorrow
Big O: Brick Ballades
Big O: Apologize
Big O: Sleep My Dear
Pokemon: Clear These Tears (yup, seriously!)
Almost the entire 2nd ost of 'Kimi ga Nozomu Eien'
and one of my personal favourites, "Warmth" from Love Hina (to me it sounds bittersweet)

Is this the right sort of 'depressing' you were after? It's tough when you're looking for help with music that conveys a feeling.... because the feeling you get from a piece is so open to individual interpretation! But these pieces of music are pretty sad regardless, I think.
And hey, if any of this stuff *is* along the right lines, then I've got a lot more suggestions! (are you after depressing VGM as well, or no?)