I'm listening to Billie Holiday's album Lady in Satin. It's the second-to-last album she recorded, and her voice is rough, but still so beautiful; it's heartbreaking.
I find I really like to listen to sad songs* and music especially when I'm feeling low (i.e. right now). It doesn't make anything better, but peppy music will just make me angry. Sometimes the sadness can be too much, though. I can't listen to Wilco if I'm depressed without completely falling apart.
Tell me what your favorite sad song is, and help me perpetuate this melancholy.
*Sad songs, they say so much.