ARTHUR SCHOPENHAUER is the most pessimistic of philosophers. He is the first to openly take the position of NIHILISM, the idea that the universe's existence is random and meaningless. Learn about him from this video about his worldview and this one on his philosophic system.
SOREN KIERKEGAARD is another depressed philosopher uncertain whether life truly has any meaning. But unlike Schopenhauer, he chooses to make a "Leap of Faith" and embrace religion as a cure for his despair. So the difference between Schopenhauer and Kierkegaard involves whether or not to believe there is some higher purpose in the face of the new doubts opened up by Kant's philosophy. Watch this video on Kierkegaard's values, and this on his philosophy.