All happy people are alike, to paraphrase Tolstoy, but each unhappy person is unhappy in his or her own way.
A sullen person is gloomy, untalkative, and ill-humored by nature, but a glum person is usually silent because of low spirits or depressing circumstances (to be glum in the face of a plummeting stock market).
Melancholy suggests a more or less chronic sadness (her melancholy was the result of an unhappy childhood), while a person who is saturnine has a forbiddingly gloomy and taciturn nature (his request was met with a saturnine and scornful silence).
Dour refers to a grim and bitter outlook or disposition (a dour old woman who never smiled), and doleful implies a mournful sadness (the child’s doleful expression as his parents left).
Someone or something described as lugubrious is mournful or gloomy in an affected or exaggerated way (lugubrious songs about lost love).