I don't think anyone mentioned, which is kind of surprising, but i'd say my top depressing manga ever is Loveless. The story is sad, the characters all have this kind of melancholy about them, everything that happens, even the casual, trivial things, always seem to have a vaguely depressing feel to them.
Don't get me wrong, Loveless is one of the most brilliant series I've ever read. It's shonen-ai but i don't even think you need to actually like shonen-ai to love it. The art is gorgeous, the characters are so FECKING LOVEBALE, the plot is intriguing...i absolutely love it--but at the end of the day, whenever i put a Loveless volume down, my cheer is down to ZERO. I have to go and watch Ouran high Host Club to cheer me up >_< (and i'm not even going to talk about the anime. Suffice it to say that just listening to the soundtrack (which, being the sad little otaku that i am, i actually downloaded) makes me cry like an idiot)
Also, another depressing shonen-ai: Let Dai.
I've only started reading it, it's incredibly addictive and I'm head over heels in love with the series, but GOSH. It's almost like I'm on the verge of just wanting to die whenever i stop reading it. Seriously
--Fruits Basket.
I kind of feel cheated by Furuba sometimes, because it started out so sweet and hilarious and cute, and i'm now on volume 11 and i didn't make it through vol 11 without crying.
If it wasn't such an absolutely awesome and loveable manga....i'd hate it >_<
But come on, let's admit it: depressing manga makes the heart feel like marshmallow. It feels good to feel bad from time to time
otherwise you start to feel bad about feeling good and then you just feel like an idiot.
Or maybe that's just me X3