(Hmph... all those links say they're "not available in my country") :|
Anyway, this all just goes to show that different people have different coping mechanisms for depression. Actually, the fact that you prefer sad music while you're depressed fits with the theory I mentioned above! Because if you try listening to happy music, you start thinking, "This should be making me happier, but it's not! What's wrong with me? Will I never be happy again?" Sad music, on the other hand, fits your mood better, so it doesn't make you feel worse.
I guess people's ability to deal with depression depends a lot on what coping mechanisms they have learned. Some people spend their entire lives in incredible hardship but are still able to smile, while others live a life of luxury and kill themselves the first time things don't go their way. You just have to find a coping mechanism that fits your lifestyle. For example, Motorheadbanger's method, mentioned above, of changing his perspective on his situation obviously works well for him, but might not work for everyone. If listening to sad music is your preferred method of "therapy," then power to you!