A new press release from the APA updated the definition of normal psychological well-being to better reflect the realities of life in the 21st century, according to anhedonic sources.
Check out this song by them but feel free to listen to their entire albums. Start with Land Animal, Say So, or You Know What They Mean if you like the above song.
Anyway, Routine by Steven Wilson and Losing It by Rush are two big candidates. Remove all sharp objects from the immediate vicinity before you listen to them.
Actually, forget that. Songs about naval disasters (The Wreck of the Edmund Fitzgerald by Gordon Lightfoot, At the Harbor by Renaissance, The Wreck of the Hesperus by Procol Harum) are somber in tone but won't make you feel despondent afterward. They're like rye bread... a little rough and dark, but hearty and filling and ultimately cleansing in the end.
The entirety of Let It Come Down by Spiritualized. It's an album all about the apathy, misery, bliss and beauty that accompanies heroin addiction. It's painfully beautiful music.