Depressing

I'm looking for games that have a very depressing atmosphere. Not games that are necessarily SAAAD or what have you, just games that feel and look very bleak. Games that give a good impression of loneliness or listlessness. Big gray wet places and so on.

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GTA IV with all the graphics mods your rig can handle

Half life 2

Heavy Rain
Max Payne
Metal Gear Solid 3, 4, Peace Walker

You should check out Hollow Knight. It's a well-made Metroidvania where you explore a collapsed, underground kingdom ravaged by an insanity-inducing plague.

Farming simulator

An obvious one but Silent Hill, specifically Silent Hill 2. A muted color palette and very wet / molded, with a hopeless atmosphere that reflects the protagonist well.

Half Life definitely seems like the definition of what I'm looking for.

The Mad Max game is superb at this. Each area of the map looks desolate in its own way.

The Void.