Vodka or whiskey. Make sure you don't drink alone, though; get some friends around you, so you don't end up hitting someone and/or end up in hospital/behind a bar/in the gutter.
As for sad/depressing songs...it's a cliche, but I'd suggest Mad World by Gary Jules. Alternatively, a good melancholy video game track would be David Wise's "Stickerbrush Symphony" from Donkey Kong Country 2. As for a film, Leaving Las Vegas, with Nicolas Cage in one of his best performances. Although I'm not sure what effects someone drunk watching a film with someone who's non-stop drunk can have, but hey, it is what it is.