"Jude: The Obscure" By Thomas Hardy
The king of making you revile, pity, and identify with, horribly unfortunate characters and their equally horribly unfortunate lives.
"Brave New World" by Aldous Huxley
Another depressing tale of the Human condition, when faced with tough decisions.
"Querencia" by Stephen Bodio
Kind of a self autobiography for about a 7 year span. Not REALLY depressing, but it puts you into a really somber mood whilst reading.
That's all I can think of, off the top of my head. If any more come to mind I'll make another post.
Also
>>4
Gatsby is a terribly boring read, and an over-hyped one at that.
Shame on you.