Looking for something that hurts 🙂 . No shoujo/ai/shounenai/yaoi/ josei might be ok.

Some of the things i've read
Ai Ren(and the rest of this mangaka's works)
Arigatou
197X
Believers
Blue Drop
Everything by Hiroaki Samura
Bus Hashiru.
Dead End
Koi Kaze
Everything by mohiro Kitoh

Satou Kashi no Dangan wa Uchinukenai (highly recommended, not really shoujo-ai despite the label)
Gunslinger Girl
Lament of the Lamb
Black Jack ni Yoroshiku - not tragedy but has a depressing/intense mood and theme
Skyhigh - same as above one
Spiral: Bonds of Reasoning
Variante

And: God hates the main character

Not really a fan of tragedy, but I highly recommend

Solanin

If the sea were made of Whiskey and I was a duck
I'd swim to the bottom and never come up

Himizu
Hotel
Ichi the Killer
Nijigahara Holograph
White Clouds
The Willow Tree

Avatar by tassyn.livejournal.com

Reading: Kingdom, Sangokushi, Historie

Deep Love - Ayu no Monogatari
it's shoujo, but it's really tragic and depressing

Let's try xD

Seconded Gunslinger Girl
Pluto
Chrno Crusade
Shin Angyo Onshi
Vampire Juujikai
Elfen Lied quite violent

Most of them are seinen, sorry if it's not your cup of tea.

What I like in Trivial Pursuit style. Pick your category:[img]http://i379.photobucket.com/albums/oo233/Reid4891/Manga/trivia-1.jpg[/img]