Hurt by Nine Inch Nails from The Downward Spiral
It's a haunting, heavily distorted track about a man that has lost everything.
The original version is extremely creepy, and the ending after the song is a nightmare, with distorted instruments becoming a veritable sea of anguished cries and pained instruments finally going silent, depicting the end of the character that The Downward Spiral was based on.
A close second would have to be the final track of Opeth's "Still Life", which is called "White Cluster"
A dreamlike piece that slowly descends to the grim reality of the coming execution of the main character. He starts off in a dreamlike state because of blood loss and collapsing from killing the soldiers that executed his lover for not being faithful to the Church and talking to an atheist outcast (him).
The Council of the Cross, a menacing institution that's very much like the Inquisition. They try to get him to repent, but he's insincere. He's led out, and sees that the people believe he's a lost soul by their white dress. The hangman ties the noose around his neck, and he thinks briefly about his life up until then.
Just as the trap door is about to be pulled, he feels a hand on his shoulder. It's his lover, Melinda, and she's ready for him to join her in death.
And before you ask, no, I'm not fucked in the head.
