Jude the Obscure has to be right up there, but the most depressing book I've ever read has to be "Sister Carrie" by Theodore Dreiser. Reading page after page about George Hurstwood's fall into poverty and eventually to homelessness has had a lasting impact.
I would also nominate "Ethan Fromme" by Edith Wharton. It is page after page of depression. Unlike Dreiser, Wharton is a poet with her words -- a great, great read.
Hoovis