Plague Dogs. It's based off of a book of the same name by the writer of Watership Down, and as with WD, the film is utterly brilliant. The ending is a tear-jerker and so is the over all plot.
Another sad film would be Twin Peaks: Fire Walk With Me, the film prequel to the Twin Peaks T.V show. The film is much more surreal, dark, depressing and horrifying.
There are also the films by my favourite Danish director, Lars Von Trier. His most depressing would have to be Dancer in the Dark, Antichrist, Melancholia or Breaking the Waves.