Szomorú Vasárnap, or Gloomy Sunday in English, is a hit song written in 1933 by Hungarian composer Rezső Seress. It's more commonly known as the Hungarian Suicide song because of hundreds (if not thousands) of suicides that had been inspired by listening to it. The song itself has been has been covered several times, most famously by Billie Holiday, and for the most part is considered an urban legend and a brilliant marketing campaign.
The version that reached radio waves, however, is not the version that was originally written. Rezső Seress originally wrote the song in order to woo his girlfriend, who had recently left him. The song succeeded in bringing them back together for a short time, before she jumped from his apartment window. Rezső had been out at the time. His girlfriend left a note for him--"Szomorú Vasárnap."
The song was changed before release. Rezső Seress himself committed suicide in 1969, jumping out of his window in very much the same manner his girlfriend did.