This is in response to the non-depressing books thread. I'm not really trying to compete with that one or put it down, it just started reminding me of downbeat books I've read that have made me feel good and I didn't want to hijack it.
So list the depressing books that make you happy. And if you like, maybe we'll even devote a little analysis to this apparently paradoxical phenomena.
Mine top picks are Vanity Fair, The Charterhouse of Parma, Blood and Guts in Highschool and Nausea.