The saddest band on earth is without question Sopor Aeternus & The Ensemble of Shadows. Almost every song is about death, decay and depression. The songs all sound like a mysterious yet very sombre medieval march. If you like gothic music, check them out.
Alas, let me tell you about the beauty of the tomb
The stained glass, all viole(n)t, enhancing the gloom
Dark flowers, all withered, fragile and old
Yet their perfume still lingers, like a secret untold
Like a dream, like a memory, that floats in this vault
Waiting for a moment is shall be recalled
By some visitor maybe who is seeking relief
from a strange kind of sadness, some unknown disease
Its symptoms are madness! Caught by the music in his head
Sung by the endless choirs called "the voices of the dead"!
Other very sad (yet beautiful) songs:
Echo & the Bunnymen - All my colours / zimbo
Echo & the Bunnymen - Ocean Rain
Silke Bischoff - The churchbells and the razorblades (about suicide)
Bauhaus - All we ever wanted was everything
NIN - Hurt
Joy Division - Disorder (and in fact most of the JD back catalogue)
Evanescence - My immortal
Sisters of Mercy - Alice (has a strong OCD feeling as well)
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Do what Thou wilt shal be the whole of the Law.
Love is the Law, Love under Will. And...
every man and every woman is a star
(excerpt from The Book of the Law - Aleister Crowley)
"Od lo avda tikvateinu" (excerpt from the Israeli hymn)