I am not aware of many new wave songs directly about depression/suicide. I know the Smiths are pretty depressing, as is the Tears for Fears album The Hurting, but I also know/found:
Dalek I Love You - A Suicide
Cabaret Voltaire - Why Kill Time (When You Can Kill Yourself)
Depeche Mode - Blasphemous Rumours
Kim Wilde - View from a Bridge
Gary Numan - This is Love