Agreed. Jude the Obscure is also incredibly bleak. Oddly, though, I don't find Hardy depressing. Maybe it's because, though he did have a bleak view of life, he was himself relatively cheerful. Other writers, like Conrad and Larkin, who suffered from depression, really get me down. It's as if the depression seeps into their work.
Dickens is a fairly cheerful writer, but there are desperately sad moments in his novels. When Joe the roadsweeper cleans up the grave of his friend in Bleak House, because it's all he can do for him, it really gets to me. Even thinking about that scene brings tears to my eyes. Then there is A Christmas Carol. Yes, it's sentimental, and yes Tiny Tim is nauseating, but I cannot get through any version of this, not even the Muppet version, without crying like a baby. I also find Pip's treatment of Joe in Great Expectations unbearable.
The Patrick Melrose novels, by Edward St Aubyn, are very sad.
There is a poem by Blake, called The Chimney Sweep' which I can't read without crying. I have no idea why. It is literally the only poem to have that effect on me. The line "wash in a river and shine in the sun" gets me every time.
The war poetry of men like Wilfred Owen and Keith Douglas are very sad, mainly because both were killed.