The Stanford Prison Experiment has been mentioned before, and it is quite an upsetting movie indeed, but what had me even more distressed is the experiment's German adaptation 'Das Experiment' (I haven't checked it but I'm sure English subs are available!) That is the one that introduced me to the whole concept and takes a much more brutal turn than the original story. I can only recommend it especially if you are seeing a film about the experiment for the first time.
Also, most depressing movie... it's a hard one to choose, but The Pianist is definitely on the top of my list. That movie ripped my heart out of my chest then put it back again. It's right next to Jagten (The Hunt) with Mads Mikkelsen. It's in Danish but it is a must watch with subtitles. Truly tragic and depressing.