There's nothing depressing about Everybody Hurts - just the opposite in fact. I find Sweetness Follows (from the same album) to be quite a bit more depressing...
And a compilation of their post-IRS releases is probably worthwhile if you don't intend to get the albums, but if you like the music, I would DEFINITELY recommend buying the albums. There's a lot of good stuff that isn't well-known or popular (I'd like to nominate Monster as the Most Underrated and Misunderstood Album Ever).
There's also an AWFUL lot of good stuff from their IRS days. Certainly Murmur and Reckoning are two of their best albums IMO. They weren't nearly as "mainstream" back then, but then I think even their modern stuff isn't very mainstream, with a few obvious exceptions (the only reason they're as big as they are is because of Everybody Hurts, Losing My Religion, and maybe Man On The Moon - if the average mainstream pop-listening punter actually *listened* to the rest of their stuff I expect he'd be put off pretty quick, as it's not very palatable to mainstream pop audiences, IMO, and all the better for it.)
Dunc, a certified R.E.M. nut