I'd rather avoid 'When The Wind Blows', too, Hammy... Need cheerier stuff than that, thank you. >__<
For films I haven't avoided, 'The Plague Dogs' is definitely up there with most depressing.
I have (kind of) watched 'Grave of the Fireflies'; however I was with distracting company at the time and it didn't have quite the effect it should have.
I'll try and have more of a think on this.