Last night, my local PBS station aired an episode about Sting's making of this album, filmed mostly in his home, featuring interviews with Dowland scholars, along with his performance of some of the songs. Here is the official site for the show: Great Performances: Songs From the Labyrinth.

During the show, Sting makes the statement (that I have seen several times before, in my career as a student of literature) that the "melancholy" celebrated by Elizabethan artists is distinct from our modern understanding of clinical depression: "melancholy" is noble, and a philosophical outlook on the meaning of life; depression is just a sickness.

...After hearing the lyrics and tunes of these songs, however, I'm not so sure (especially Come, Heavy Sleep). I suspect that anyone making such an argument has had the good fortune not to know what real depression feels like.

However, I do think that there is something noble in these songs of melancholy -- a fight and striving to break out of depression's isolation, to communicate, as clearly as you can, what you are feeling. That's a fight for life, and that's noble.