Check the video "Ten Ways - Gloomy Sunday" to know more about the story and the meaning of this music and its melody.
Gloomy Sunday, or "The Hungarian Suicide Song" or even "Suicide's Anthem" as some refer to this music, is a very saddening music that Rezso Seress composed. The actual story behind the music is shrouded in mistery and it's hard to know if anyone actually knows what the really happened. This creepy titles I mentioned before are used because this music was linked to many suicides. People say the melody is haunted and if you listen to it, you ear a voice that tells you to kill yourself. But that is just a bad joke of someone's sick (or attention-craving!) mind.
The dispair, hopelessness and sadness imbued in this song is what MAY have taken the people that comitted those suicides to use it as their last song, their last breath, their last cry.
I too think this music is saddening, but I do like it, I love to ear it. It really only depends on how you deal with the feelings the melody carries. In my opinion sadness can be the deepest feeling a human being can feel, even if it is a bad one, without sadness you wouldn't be able to appreciate hapiness, would you? You wouldn't be able to understand other's problems and pains.