Goddamn, I'm always pimping this band but I have to do it again: "The Nightly Disease" by Madrugada. It's generally pretty dark and depressing, but not in an obvious way. Some of it's pretty slow-paced and gloomy, some of it's a bit more upbeat and rock-y but it has that overall theme of utter despair running right through it.

Agreed with Blue Valentine.

Um, I like Dirt but I'm not sure if that quite fits the bill for me.

"Neon Ballroom" by Silverchair is generally a really sad, depressing album. But it's a little bit hard-rock at some moments. Most of it is fairly downbeat and beautiful, but it's heavy on the angst.