I think "depressing" is definitely the best word for this movie. After seeing it once, I was not only saddened, but downright angry that anyone would make a movie that made me feel this way.
After masochistically making myself see it again, I grew to appreciate it somewhat more. The fact is, the movie does what it does very well; unfortunately, what it does is show us the story of a man whose life just outright sucks. He's a terrible comedian who can't say anything funny, he's a slightly alcoholic husband who can't support his family, and he's a lousy worker in a lousy job who can't make ends meet. The only person Jimmy sticks by is his grandmother, who ironically is the source of many of the disasters in his life.
In summary, I have to say it's a well made movie, but if you watch it, be prepared to be uncomfortable with life for a while.