I cooked a Valentine's dinner for my girlfriend (now wife) the first year we started dating, and put on some Brian Eno. It really got to her, because she broke down and started crying before she even took a bite of food. It was an interesting evening, courtesy of Brian.
This Mortal Coil, Joy Division (pretty much anything on Factory Records from 1981 and backwards), Nick Drake, Berlin by Lou Reed, Ocean Rain by Echo and the Bunnymen, All Cure from Disintegration moving backwards, All Mark Kozelek related stuff. I love this place.......... : )
I'm not sure if this stuff is "depressing," but it rained all day and night in Las Vegas last night and I was listening to this jewel (which includes the original version of "I Walk on Guilded Splinters"):