A more dreary, sad, and depressing Christmas song cannot possibly exist.
But Salon.com gave it a go, coming up with a list of unintentionally depressing ones. They go into some detail about the recordings at that link, but I'm excerpting just a bit to give the flavor of why these were selected.
Frank Sinatra's The Christmas Song, about which they say, "Classics like “The Christmas Song,” and “I’ll be Home for Christmas” took on a heartbreaking tone after Frank phoned them in for this 1957 recording. Sinatra was going through a messy divorce and simultaneously making a holiday album in the triple-digit heat of Los Angeles summer."
Lightnin’ Hopkins' Merry Christmas, and Salon describes it as "the sound of a man alone on Christmas".
Low's Blue Christmas. Salon says, "After a couple of minutes listening to Mimi Parker and company you suddenly get the sense of what it must be like to wake up Christmas morning to find you have been robbed of everything but the tinsel."
Vince Guaraldi's Christmas Time Is Here. Salon says the piano-only version "has always seemed like the soundtrack to crying in your old bedroom".
My Morning Jacket's Xmas Time Is Here Again. Salon says the vocals "evoke the most disheveled group of carolers to ever find your door."
Red Red Meat's There’s Always Tomorrow. Salon says they turn the Claymation Rudolph song "a big pile of ashes and antlers."
Eurythmics' Winter Wonderland. Salon says they "sounded more alien or robotic".
Now if all that isn't depressing enough, read Salon's exploration of why Baby, It's Cold Outside is about date rape. And yes, yes it is. There is no saving that song.