First, let me say that I'm using a relatively narrow definition for the word "depressing" here. I don't, for example, mean to include all fiction in which the protagonist or someone she loves dies. As Heather Albano has posted on her own blog, a story can be uplifting despite, or even because of, the death of the main character. Think of the noble sacrifice, or (Heather's own example) the death in an epilogue of the protagonist after a long and fruitful life. Or think of King Lear, where nearly everybody we love dies, but where the effect on the audience is a sense of completion, even redemption.
Nor do I think that a sad ending is necessarily depressing. We can witness the loss of all that we hold dear, but in a context where it makes us realize just how dear those things are to us, or we come to understand that we would give up something precious for a cause, or (in science fiction or political fiction) we become committed to preventing a certain outcome from occurring, or we understand the plight or subjectivity of others in a way we never did before, or we see our own role on good or evil in the world, or where we comprehend the complexity of certain notions of good or evil -- well, you get the point. Sadness is a tool.
By depressing, in this context, I mean "fostering hopelessness." A depressing story is one which says, "Things are going to hell, or things are permanently already in hell, there's nothing good or redeeming about it, and there's nothing you can do about it." Back in the day, the catch-phrase was, "Life sucks, and then you die." Or, to use Brecht's lyrics, "The world is poor, and man's a shit / and that is all there is to it."
Now, I've seen books and story that are depressing at the beginning, but find their way to uplifting, hopeful or redemptive conclusions. The first fifty pages of John Varley's Millenium, for example, is about as depressing as anything I've ever read. But then the story really gets going, and the ending -- well, no spoilers, but it ends well, or at least it did for me.
Orwell's Nineteen Eighty-Four, in its combination of political pessimism and pessimism about human behavior generally, may be a good example of depressing fiction. One ends the book disillusioned about nearly everything. I suppose it's not completely hopeless, in the sense that Orwell was imagining one very particular progression of political events, which could be (and perhaps have been?) deflected at many different points. The reader might, therefore, end the novel thinking, "Well, at least I can work to make sure this never happens." But if one believes Orwell's humanistic premise, then the political commitment may not be sufficient to dispel the hopelessness about our fellow men and women.
By contrast, I don't find Huxley's Brave New World depressing, despite the dystopia (or "negative utopia," as he called it), because the book presents a puzzle for the reader to solve -- what do we want out of life, and what do we actually want our culture to do for us?. The puzzle may be insoluble, but I can chew on it like a happy puppy for a long time.
But I have read some stories lately that say essentially this: "(1) the world is in the grip of corporate and geopolitical forces far beyond your control, that will (2) result in a future where nearly everyone is miserable, and where (3) 'good' people will prove to be craven, selfish, ungrateful and cruel." There are even a few authors who seem to specialize in this kind of work. Now, the futures they warn me about are realistically bad, and the corporate and political forces they speak of are pernicious, and it's good for me to be alerted to the danger. But when the message is so hopeless, especially as relates to the impossibility or improbability of human beings behaving in a loving or noble way toward each other, then why do I read it? If I see a story by author X, knowing that author X makes me want to drink hemlock, will I open the story? If he has something good to say to me, will I ever find out?
But what about the argument that such literature serves a political or social function, that it can serve as a warning bell? (Think of the TV movie The Day After.)
Back in college, my teacher John G. Monroe and I had a disagreement about the functions of literature. John claimed that literature was either political or entertainment, or else contained a combination of both elements. I claimed that there was a third function called art; John said that what most people called "art" was either entertainment or politics, depending. I said that there was a "moral uplift" or "ennoblement" that could be experienced in literature; John said that that experience was either illusory (hence entertainment) or spurred one to support a cause (hence political). I suppose John (although he's not here to tell us) would say that literature could be effectively political but devoid of entertainment, and consequently could be depressing and still work.
So, now I open the discussion. Can depressing fiction be effective, for any purpose? Are there some purposes for which it is more effective than others? Do you even believe in my label, "depressing fiction?" Have at it.