Is Equus the most relentlessly depressing movie ever made? Or is Visconti's Death in Venice? Or another Burton vehicle, The Spy Who Came in From the Cold?
But when I start watching, I can't take my eyes off them, because they're also relentlessly mesmerizing. Just Burton barking into the camera was worth the price of admission, back in '78 or so. NeboCorfu
I know some people might laugh, but I thought Neverending story was quite depressing when i was a kid.
Then one movie that I found extremely sad and depressing was Grave of the Fireflies. It's actually an animated movie, but do not let that turn you away, it was a great film.
As far as more adult/drama movies go, I thought Michael Haneke's film, Time of the Wolf was quite sad, then there's The Killing fields, House of Sand and Fog, The Blue film from the three colors trilogy by Kieslowski, Ponette, Wings of Desire (which the american film, City of Angels was based on), Dogville, Angela's ashes and many others that I can't remember at the moment.
edit - oh and how could I forget, another animated movie that was quite sad, Watership down.
the film A.I. also was quite sad to me, I thought it was a very well done film even though many disliked it. Wonder what Kubrick would have did if he had done it instead of pass it off to Speilberg?
1. Charly (ending made me want to smash the television set) 2. Silent Running (a masterpiece, but not sure when - if ever - I'll be able to watch it [yet] again)