I never found it to be depressing, but just so you all know, you can change the songs if you want. It's similar to implementing a mod, except you go to the Sounds folder.
You'll need a program that can convert to .ogg format (I use Audacity, which is free online). Just convert your songs, name them song1 (or song2 or song3 or song4 - lol) and then copy them into the sounds folder. You should probably back-up the original songs just to be safe.

Or, like everyone else has said, just turn off the music!