- The Embedding by Ian Watson. A "near future" story about hideously unethical experiments (in linguistics, of all things), a doomed indigenous people, and violently botched first contact with aliens, everything comes together in the end in a way that makes the human race look particularly shitty. These days the author seems best known for his (distinctly less depressing) "Warhammer 40,000" fiction, but he also wrote a follow-up called The Jonah Kit that was even darker, though not quite so good.
- Starfish by Peter Watts. In this one, the vast bulk of the grimness flows from a single conceit: what if the only people who could tolerate living on the sea floor for a long time are the victims and perpetrators of abuse? The rest of the book isn't too cheerful, but it's mostly just a contemporary spin on the sort of decaying dystopia we've been reading about for ages. It's the twisted human element that makes Watts' book special.
- Stand on Zanzibar by John Brunner. This is one of those "extrapolations" that's supposed to be a dire warning, but the main fears about overpopulation just haven't panned out (especially since Brunner was heavily focused on its effects on the First World). A lot of the rest is pretty dead-on, with racism still being a major force in American life into the third millennium, interminable overseas warfare, and rampaging spree killers. Brunner wrote the book in the late '60s, so I suppose he can be forgiven for thinking that the MTV analogue he predicted would actually show music videos.
- Gateway by Frederick Pohl. SF that isn't so much gritty as it is grimy. It has a fair amount in common with Starfish, focusing on emotionally-damaged pioneers (this time in space, instead of the bottom of the sea) escaping from a depleted and impoverished Earth. Most people die, except for the not-noticeably-likable protagonist and narrator.
- A Scanner Darkly by Philip K. Dick. The backdrop isn't as harsh as some of Dick's other books---there hasn't been a nuclear holocaust, the Nazis didn't win, and people aren't watching their beloved pets die off one by one. Nonetheless, the story focuses so tightly on the devastated lives of its drug-addicted characters that it ends up being much more harrowing. It doesn't hurt that it's Dick's best-written book, either.
One thing I sort of noticed while putting this list together is that dystopian settings are not the central element of truly depressing SF. They aren't even really a necessity, since Dick's book was set in a Southern California that looks a lot like our own (OK, maybe that is pretty dystopian...), and plenty of books with settings at least as grim didn't get anywhere near my list. Even SF novels set in particularly dingy settings often have protagonists who aren't totally destroyed by the awfulness around them---Neuromancer, for instance, has a setting as dark as any of these, but many of the characters walk out of the book rather more whole than they walked in.