For some reason, "VU", while not my favourite Velvets record at all (still great though), is always one of my top "feeling down" records. Also the third album. Not the Velvets counts as "strange" sad music though. Also yeah, definitely beefheart. Especially "Safe as Milk".
More!
Keiji Haino - Affection
Pharoah Sanders - Karma
Suicide - s/t
Ciccone Youth - The Whitey Album
Just off the top of my head. I mention hundreds though. Basically, great music is what eases me when I'm down. No need to be specific.