Willow. Complete self destruction, guilt, addiction, anger- it ruins her. She alienates herself from Tara, Giles and Dawn.
About Buffy and Dawn.... I could really identify with Buffy's depression and Dawn's feelings of isolation and resorting to such behaviours as stealing and playing around with spells. However, they, I dunno how to explain this, recovered together. There's this beautiful moment in the season 6 opener, when after everyone seems so happy that Buffy is back yet utterly puzzled by her behaviour, and we have Buffy standing on the crane, which is about to collapse, Dawn reminds Buffy of how much she loves her. They pull each other back from low points in season 6, (There problems still exist and never go away, which has a lot of truth in it) whereas Willow struggles, it's The Downward Spiral.
After watching Hell's Bell's I remember crying at the end, as I did in Entropy. Seeing Anya at her most fragile, and to then sleep with Spike, and for then to see Xander snap at her was awful. Very difficult arc to write about, yet I do think Willow is the most depressing. Willow is such an intelligent individual, a kind, loving soul who has made significant advances in magic (which turned into an addiction).
Also, I swear- the more I rewatch season 6, the more devastating and sad it becomes.