I first started thinking about it when the subject was brought up at Occluded Sun. Then Eugene Volokh brought up the larger subject of worst Christmas songs, regardless of depressive intent. One of the commenters there links to a list of the 10 most depressing Christmas songs.

On a somewhat related note, a little while back I stuck up for unhappiness in music (and art generally) against 80s-dance fan agnostic. I should have cited TV Tropes: True Art Is Angsty. I last gave the finger to happiness here.