The thing about depressing songs is that after it's been gray and rainy for several days, you can slip into them without even being sad. The Red House Painters have the most varied take on unremitting melancholy that I can think of; the trick, I suspect, is that if you play slow enough your music can build up a lot of energy with dynamics and still not seem anything but sad. That near-military drum that comes in for a few notes every two measures gives "New Jersey" a stern, resolute feel, even though everything about Mark Kozelek's voice tells us that he's much more used to giving up.
[Red House Painters have two self-titled albums, among others; this version of "New Jersey" is from the one with the bridge on the front. I feel like I should mention that not only is my affection for this song not from being depressed, it's also not related to any of the women I've dated that grew up in New Jersey, even though (now that I think about it) more than one of them dyed her hair red.]