Texhnolyze is very depressing.
Gunslinger Girl is fairly depressing.
It's been years since I saw it, but I'm pretty sure
Gungrave was a downer throughout.
Hoshi no Koe is a small slice of depressing.
Hotaru no Haka is a study in depressing.
Kimi ga Nozomu Eien is an active, malicious sort of depressing.
Devilman is always pretty depressing. I won't direct you to it, because I can't really call it entertainment, but the final OVA of the parent series has the girlfriend cut up and decapitated, the protagonist eating young girl allies, and the the world ending (don't rag me about spoilers, it's just a single episode that no ones going to watch anyways).