Anal Cunt have an album called It Just Gets Worse.
Doom Metal band Warning's album "Watching From a Distance" is one of the most depressing albums ever made. The first song is heartrending, and each song just gets more depressing.
Doom metal band KYPCK's first album, "Cherno", was already depressive and crushing, especially because the songs are sung in Russian and dealt with Soviet thematics. Then "Nizhe" came along. Suddenly it feels there's no light left in the world, especially for those who are living in former Soviet nations and know what the songs really are about.
In another of the most depressing albums of all time, Queensryche's magnum opus concept album "Operation: Mindcrime" tells the story of an angry, drug-addicted, politically and socially frustrated young man recruited as a political assassin for a shady revolutionary who falls in love with his courier, an ex-prostitute turned nun who's still getting sexually assaulted by her priest on a regular basis. The first several songs set up the characters, who they are, what they believe, and how they got to the point they are. By the time the actual events of the story begin, Nikki (the main character) is strung out, burned out, and wants out. Then it gets worse.
Doctor X: Kill her. That's all you have to do.
Nikki: Kill Mary...???
Doctor X: She's a risk. And get the priest as well.
Another uber-depressing (albeit absolutely brilliant) concept album is Pain of Salvation's "The Perfect Element, pt. 1" It introduces us to an adolescent girl who runs away from home after being sexually abused by her father. On the street, she encounters a kindred spirit in a boy with whom she presumably has sex in their mutual desolation. The focus then shifts to the boy's perspective, who reminisces to the listener on the events in his life which led him to the streets all the way back to his birth. At the end of his reminiscence, it's implied that he kills his mother. He later reconciles briefly with the girl, whom he may or may not have impregnated, only to tell her to get away from him. The last we see him, he's lying on a bathroom floor, apparently considering suicide. And this is just the first part of a projected trilogy of albums.
Scarsick, The Perfect Element pt. 2 pulls off something even worse: isolated, the boy is glued to the TV, often expressing disdain towards the world he sees in an adolescent fashion. His hatred towards what he sees pushes him out of his head, and his thoughts drift in between the girl and the world they both inhabit. So, what does he do? In a moment of despair, he runs to the roof, and jumps down. The album ends with a cliffhanger, with the line "In two seconds I will hit the ground" fading out, to the sound of an ambulance driving away in the background.
The album "Angels of Distress" by the Finnish Doom Metal band Shape of Despair. Just when you think the music can't get any more bleak and depressing, it does.
Brooke Lundeville's folk-style ballad "The Wreck of the Crash of the Easthill Mining Disaster" only gradually reveals the full tragedy of the industrial accident and its 1765159164172; yes, the puppies count222ca. 50,000,000 victims' untimely demise.
Sonata Arctica's "White Pearl, Black Oceans" is pretty much pure this. Its about a lighthouse keeper who gets bored, goes to town, and has a one night stand with a girl. Sure, not that bad. But it then proceeds to explain how he, upon leaving that night gets the SHIT beaten out of him by her hence unmentioned husband. This leads to him lying unconscious without anyone to run the lighthouse, by the time he wakes up, a ship has wrecked. (Possibly the very same which the girl, who was pregnant, had just left in.) He pretty much goes through hell from there, and eventually kills himself.
The Finnish version Nainen tummissa of Uriah Heep Lady in Black must be the Ur-Example of this. The lady who appears to the protagonist is actually the Angel of Death. It gets worse: the protagonist falls in love with her, and can no longer find any joy in life, as he only waits for the Angel of Death arriving.
Each of the four stanzas of The Doctor's Wife by The Clockwork Quartet shows a steady progression through It Got Worse territory. It's especially apparent in the doctor's goals: Stanza 1: She'll dance again. Stanza 2: She'll laugh again. Stanza 3: She'll smile again. Stanza 4: She'll live again.