Contemporary Music
Nick Cave & Warren Ellis - The Assassination of Jesse James OST: the OST for The Proposition by Cave and Ellis is also good.
Carter Burwell - In Bruges OST: A mix of original compositions and other music. Very good.
Operas & Choral
Vivaldi - Gloria, Magnificat, Concerti: I have been listening to this choral piece for days now, it is excellent, especially the Sara Mingardlo & Patrizia Biccire Recording.
Reinhard Goebel - Francesco Maria Veracini: 5 Overtures
Schubert - Winterreise: Although I'm not a big fan of German Operas Winterreise is a very good "brooding" music.
If you're not into Operas or Choral pieces you might just want to stick with the contemporary pieces, the two contemporary pieces i listed are excellent "brooding" music.