In terms of bad endings MAKING me depressed ....
Lost and Battlestar Galactica.
They both pull the god-card.
Still, Galactica ends with them destroying all their spaceships (by hard-wiring it into the brain of a main cast member, murdering him in the process), the president of the people dies of cancer, Adama goes into grief-exile, Kara was the angle-o-death-or-something and disappears UNEXPLAINED, most of the main cast is dead and the rest is probably gonna die during the first winter.
Like, you got an entire planet full of people and you got ONE old doctor. Your civilisation is clearly fucked.