I once read "Tess of the D'ubervilles" and spent the next six months depressed. Nobody like ol' Tom Hardy to take the sunshine out of the day and a smile from off your lips.

In that regard, let me also mention Jerzy K.'s "Painted Bird" and anything by F. Dostoevsky. Gogol's play "The Lower Depths" is also notable for depressing folks ("I heard the little bones...krchh, krchh....").