...when you listen least for pleasure and more for consolation or what could be described as an existential band-aid in sound? In short not something you would listen to on a regular basis...unless you're a miserable SOB. ???
Vaughan Williams: Fantasia on a Theme by Thomas Tallis. Very moving music which not so much consoles as acts as a key to unlocking more bittersweet emotions.
Elgar's Enigma Variations, Rachmaninov's Piano Concerto No. 2, and of course Mahler's 9th Symphony are the first pieces that come to mind; the latter most especially. :) (Edit) Oh, Bruckner's 7th Symphony, too! How did I manage to forget that? :o
The last movement of the completed Mahler Tenth Symphony.
The slow movement of the Bruckner Sixth Symphony.
Preferably one would listen to these works in their entirety.