Harlan Ellison
Nobody mentioned Harlan Ellison yet - pretty much most of his short stories qualify. A good example is "I have no mouth and I must scream". Doesn't that paint a cheerful picture?
IIRC, one of his collections, Deathbird Stories, even has a disclaimer not to read it if you're depressed, although I could be confusing it with some other Ellison book. Ellison also penned the famous Star Trek (original series) episode called City on the Edge of Forever.
The Road is still pretty much #1 on my bleak and depressing list though.
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