Schubert's late Piano Sonatas will do very well in setting a desolate, sombre mood. I'm partial to Claudio Arrau: people says he overdone the romanticism, but for such music I don't think this is a fault.
Definitely Mahler 2. Try the Shostakovich violin concerto in a minor, oistrakh recording is the best. Very dark, gorgeous slow mvt. If you're interested in Opera, check out Tosca.
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