Thomas Hardy's 'Jude the Obscure' is certainly the most depressing. The whole story conveys an impression that the characters are being coerced into repeated sorrow and frustration. It seems to imply that we create our misery simply by neglecting to consider, or trying to exceed, our limitations. I once heard it described that the novel slaps the reader in the face with a fish - a very large, wet, and plaintive fish, indeed.
I'm reading Hardy's Tess of the D'urbervilles at the moment and it's frustratingly depressing. No character has made me madder than Angel Clare in any book I've read. Would you recommend Jude the Obscure?
If you're enjoying Tess, then I eagerly recommend reading Jude. The two books are a continuation of much of the same attitude, although their themes differ noticeably. You could also try reading some of Hardy's earlier novels, which have more lively and humorous elements. Far From the Madding Crowd and The Trumpet-Major immediately spring to mind.