If you wanted truly depressing then go for Elfen Lied. That shit's almost soul destroying, and at times incredibly uncomfortable to watch. Re watched it again yesterday, still makes me feel like crap.

Grave of the Fireflies is incredibly depressing, though deffo a worthwhile watch. 1st time I saw it was on Kerry's recommendation, she was all "it's hart breaking" etc. For the 1st half I couldn't get why, then shit gets miserable... Really miserable.