Down by the River is a personal favourite. Neil Young's song about a guy that just finished killing his girlfriend.

Down by the River - live 1971

You take my hand,
I'll take your hand
Together we may get away
This much madness
is too much sorrow
It's impossible
to make it today.

Yeah, she could drag me
over the rainbow,
send me away
Down by the river
I shot my baby
Down by the river,
Dead, oh, shot her dead.


Depressing and exhilirating at the same time.