Limbo can be depending on the atmosphere you're playing it in. The first time I played it was at night by myself. Make sure you have a few hours to play through it from start to finish. The lack of other people in the game can really make you feel lonely. Of course, when I had my friend play the game, it wasn't depressing at all. I was too busy laughing every time he died.
I know that this topic was suppose to include PS games, but I found Fragile Dreams: Farewell Ruins of the Moon for the Wii, to be very depressing. I do not think that very many people have played it, but considering everything that the MC went through and the ending that follows. Jeez, I was upset for a while.
I think Fragile Dreams: Farewell Ruins of the Moon for the Wii is probably the most depressing game of the generation. I still liked the game a lot. Too bad it did not get an HD version on the 360 or PS3. They even get you some more if you watch the entire ending.