Gloomiest and most depressed characters?

[Blueberry Stark]

Not being a smartass, but who isn't depressed in ASOIAF? It's a pretty depressing place.

[Jon Blackfyre]

Not being a smartass, but who isn't depressed in ASOIAF? It's a pretty depressing place.

Lyonel Baratheon, The Laughing Storm, seemed to be a pretty happy fellow.

[White Flower]

Probably the most striking to me is Arya and Sandor in ASOS post-RW. Arya lost her mother and brother nearly in front of her and has no where else to to go and Sandor is an outlaw from the crown, no money, a dog without a leash for the first time in his life, and he doesn't even care if he is recognized any more. When he hears that Sansa is married, that's like the final blow. I don't think Sandor wants Arya to put him out of his misery purely for physical reasons. That's what makes his line to her from my signature along with her previous line about her own heart so...well...heart wrenching.

I agree with this. Sandor and his drinking habits are interesting. When he's captured by the BwB, he's drunk. As far as we know, he's been wandering the Riverlands, drinking, not knowing what to do. But when he kidnaps Arya, suddenly he has a purpose. After the RW, both he and Arya are miserable, they don't know where to go or what to do. As you say, he no longer cares if he's recognized. And when he hears about Sansa, he chugs down, what, two flagons of wine? A destructive thing to do when you know you might have to fight soon. He wants to die, and I don't think it's just because of his wound. It's very typical for depressed people to drink and spiral out of control when they're down, and then have good periods where they function somewhat normally.