The song "Another Horsedreamer's Blues", especially the line "So she takes her pills/careful and round/and one day she's gonna throw the whole bottle down". Adam Duritz is so good at channeling feelings of hopelessness into his listeners.
Also, the song "Raining in Baltimore".
The Across a Wire versions of "Mr. Jones" and "Anna Begins" could, too.
Just take a listen here, to this live rendition of "Anna Begins".
"Big Yellow Taxi" (originally by Joni Mitchell) and "Long December" qualify for many.
"Colorblind" is so tear jerking that it sends chills of sadness down your spine. The melancholy insistence of "I am fine" at the end sounds so hopeless and forced that it makes everything worse.