wikipedia says:
"Gloomy Sunday" is a song written in 1933, by Hungarian pianist and composer Rezső Seress.
Though recorded and performed by many singers, "Gloomy Sunday" is closely associated with Billie Holliday, who scored a hit version of the song in 1941. Due to unsubstantiated urban legends about its inspiring hundreds of suicides, "Gloomy Sunday" was dubbed the "Hungarian suicide song" in the U.S. Seress did commit suicide in 1968, but most other rumors of the song being banned from radio, or sparking suicides, are unsubstantiated, and were partly propagated as a deliberate marketing campaign.