I actually found the opposite to be sort of true. When I felt really lousy, I'd listen to some really bittersweet, melancholy but achingly beautiful music. Loud enough to drown out everything else. I found it cathartic; I'd eventually exhaust myself and fall asleep, and the next morning would be a bit better. Not good for when I was too close to the edge, but I've found that even severe depression and suicidal thoughts are not necessarily related. Usually the two happen together, but my most severe depressive episodes were generally not when I felt like ending it all.
Oh, I found that Harold Budd and Brian Eno's The Pearl album, as well as Barber's Adagio for Strings (among much of his other compositions) worked very well for this purpose. To the point that I can't listen to either without tearing up a bit.