Not for the original commenter probably, as it has been 2 years, but for people reading this thread.
Most Makoto Shinkai's works are similar in style. Not necessarily depressing, but will leave you thinking. "5 Centimeters Per Second" already mentioned here, also "The Garden of Words". You may also like "The Place Promised in Our Early Days".
"Grave of the Fireflies", also mentioned already by several people.
"Barefoot Gen" - not sure if it's depressing, but contains some really sad and shocking scenes.
"Evangelion", but necessarily with EOE (original 25 and 26 episodes are crap).
"The Sky Crawlers", very beautiful and sad film by Mamoru Oshii.
Strangely noone mentioned "Texhnolyze" yet.
"RahXephon" - many people compare it to Eva, but it's very good and sad IMHO as well.
"Haibane Renmei", one of my favorite.
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