well I would have to agree with the Smiths comment, Marr does lighten up the lyrics. Ian Curtis of Joy D. is also great, so since those are from my DJ days almost 20 years ago, here's some new ones that I found along the way.
Men:
Matthew Ryan
Willard Grant Conspiracy
Red House Painters/ Sun Kil Moon/ Mark Kozelek
Willy Vlautin/ Richmond Fontaine
This Living Hand/ Neilson Hubbard
Women:
Chris Pureka
Jesse Sykes
Mazzy Star/ Hope Sandoval
Gillian Welch
Cowboy Junkies/ Margo Timmons
and the ultimate depressing music out there is Brian Eno, especially with Harold Budd, the Ambient series, years ahead of This Mortal Coil and the whole 4AD thing.