"the best nostalgic, sad or depressed rock albums?"
This question depent a lot of that which have listened and when.... But if I use all words I can find at least two albums:
1. The 69 Eyes - Paris Kills (2002)
"Helsinki Vampires" are well known about a gothic metal, rock'n roll and glam rock but they are maybe mostly known of their singer Jyrki69's voice which some people compare to Peter Steele (Type O Negative).
The album has many good songs with good melodies. Mostly of them tell about loving and that's kind of things.
The 69 Eyes is also celebrating their 25 years band's history (they are founded 1989's from same year than Type O Negative) and touring normally around of world.
2. Viikate - Marraskuun lauluja II (Song's of November II) (2007). Only bad thing can be that its for finnish.
Viikate has a long band history (founded 1996). They are like "gods" in Finland and one of the biggest bands. They mixing old kind of 1980's "rautalanka" wire-music style with newer metal (and hard rock) and also in Finland popular 1950's song's style. So their music style is quite unique if you compare it to any other rock or metal band.
The album is very diverse (it has happiness and sadness). Need only listen the songs and can feel atmoshpere which they have. The lyrics use those melodies perfectly.
The songs have translated for english (dunno how good those translates are becose should check them
V FOR VIIKATE).
Of corse both bands are my big favourites...