Rock: Pitiful by Sick Puppies is pretty good...
"And I try every drug i find...except maybe herione and cyanide. But there's a reason, i just can't afford them yet..."
Country/Alternative: Whiskey Lullabye by Allison Krause (and some other guy, but just searching her should bring results)
"Put that bottle to her head and pulled the trigger...and finally drank away his memory. Life was short but this time it was bigger, than the strength she had to get up off her knees. We found her with her face down in the pillow...with a note that said i love him 'till i die. We put her next to him beneath the willow...while the angels sang the Whiskey Lullabye."
Rock: Starless by Crossfade
"If only you could watch me fall, i can not feel it anymore. It's all you get, it's all you adore. Can not feel you anymore, i can't...you run through me like a f***ed up force... Standing over the edge, i'm taking my last breath. How I feel like i'm starless, i'm ready to fade now..."
Alternative: The Best Deceptions by Dashboard Confessional
"But i guess i should have heard of them from you...I guess i should have heard of them from you. Don't you see? Don't you SEE that the charade is over. and all the best deceptions and the clever cover story awards...go to you! So kiss me hard, 'cause this will be the last time that i let you."
Rock: Don't Let Go by Deepfield
"Will we ever be more than friends? Hold me tight and don't let go. (Don't let go!) Have a right to lose control! (Don't let go!) I often tell myself that we could be more than just friends...I know you think that if we move to soon, it would only end. I live in misory when you're not around, but i won't be satisfied till we've taken those vows!"
these are all good songs, but Whiskey Lullabye is more melodic than the others. Aside from Allison Krause, all the bands i've mentioned have a few good songs about someone depressed or just...ya, really good songs. Hope i helped! have fun being depressed.
-Tanner
Deepfield is the best of the ones i've mentioned for songs like you're looking for. Dead Horse by Deepfield is good too...depressing.