Excellent idea for a topic.
Here are some from when I lost my job in 2006. That was just a sad time because I just loved the people so much (we're all friends and we all still see each other). Plus the company was bought and it all just seemed like an unfortunate end of an era.
The last day at the office: Walls Come Tumbling Down by The Style Council:
http://www.youtube.com/watch?v=I29aPBkEc0Y (perfect lyric:
They take the profits, you take the blame) and also by them, How She Threw it All Away (couldn't find it anywhere online but the perfect lyric is:
Don't shed no tear, there's no need to cry)
This (Brian Wilson by The Barenaked Ladies)
http://www.youtube.com/watch?v=udmQBRWYaZc is from a month or so afterwards; the greatest description of depression I have ever heard in a song.
But this is what I played when we first all got together again (there's a beach party every year, and I DJ):
http://www.youtube.com/watch?v=fm4iU0yx9GY (Tubthumping by Chumbawamba).