Does anyone know of any sad/depressing/melancholy themes used in any trailers or created by any of those companies? Thanks alot...

two rocks and a cup of tea by massive attack is quite melancholic.
it was featured in the I AM LEGEND trailer

Have you checked out the Watchmen trailer, Smashing Pumpkins - "The Beginning, Is the End, Is the Beginning"

Another trailer I thought was good (Although not a movie), was Gears of War with Gary Jules version of Mad World

Thanks alot guys, I'll check em out!