You would have heard a tonne of Nick Cave without knowing.
Red Right Hand has appeared everywhere, for instance. His career stretches so far back, and he's explored so many sounds, that it's hard to recommend any one song or album in particular.
His first shift to slow and moody ballads that I'm aware of was The Boatman's Call. I never explored his full discography, but I always loved
Let Love In in particular.
Going further back,
Hard On For Love is a good example of the griminess of his early sound, cultivated in dingy clubs in London and Berlin.
And more recently obviously there's his side project with Warren Ellis, Grinderman. If you watched True Detective,
Honey Bee closed out one of the eps.