re: Most depressing albums you've heard

Elvis Perkins - Ash Wednesday

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Ash Wednesday is the debut studio album by singer songwriter Elvis Perkins, released on February 20, 2007, on XL Recordings. It is a chronologically sequenced album of songs written before (Tracks 1 to 6) and after (Tracks 7 to 11) the death of his mother, who died on 9/11. In a 2009 interview, Perkins states that the album "[has] been made out to be bleaker than it really is, [...] there were moments of hopefulness on Ash Wednesday too."[6]

Regarding the album's title, Perkins states that it:

refers to being left on Wednesday with nothing but ash, because [my mother] died on a Tuesday - being left with ash on September 12. That was also the day my father died, September 12 [1992, of complications from AIDS]. It first occurred to me on Ash Wednesday itself - my consciousness was largely ruled by having lost my mother six months previously.[7]

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Eels - Electro Shock Blues

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Electro-Shock Blues was written largely in response to frontman Mark Oliver Everett's (more commonly known as E) sister's suicide and his mother's terminal lung cancer. Many of the songs deal with their decline, his response to loss, and coming to terms with suddenly becoming the only living member of his family (his father having died of a heart attack in 1982; Everett, then 19 years old, was the first to discover his body).

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I love Electro-Shock Blues so much. It really is a masterpiece. Check it out if you haven't ever listened.