Mogwai - I Know You Are, But What Am I?
Mogwai - Travel Is Dangerous
Sigur Ros - Glosoli
Sigur Ros - Hoppipolla
Sigur Ros - Milano
Sigur Ros - Agaetis Byrjun
Múm - Green Grass of Tunnel
Múm - Finally We Are No One
Múm - Don't Be Afraid, You Have Just Got Your Eyes Closed
Múm - The Land Between Solar Systems
Most of those have lyrics - sorry - but all the Sigur Ros ones are sung in Icelandic. Don't really think they're particularly depressing, mind. Only one I'd say straddles the "depressing" border in terms of lyricism is Travel Is Dangerous.
Hope some of those help though