The City of Lost Children will really bake your noggin, as will Waking Life. Harrison Bergeron is a great short story by Kurt Vonnegut that was adapted into a pretty decent TV movie.
But hey, man, if you're depressed and lonely, don't forget to get out, go for walks or a bike ride, visit a dog park, eat some fresh fruit & veggies, get some sleep, go on a photo scavenger hunt -- take care of yourself! Depression is a sign that your body's not getting what it needs, so don't stay in the dark basement watching vids and Renoising ALL THE TIME, ok?
Take it from me -- I've been there, and getting good sleep, exercise, and nutrition are the best way to shake off your funk. Staying inspired and surprised by life helps a lot too.
Hang in there!