What are some illegal drugs that are depressants?

Many depressants do have medical applications, and so many of them are not outright illegal but rather "controlled substances", so they're illegal if you don't have a prescription.

An outright illegal depressant is heroin. However, other opiates are legal with a prescription, like morphine, codeine, oxycodone, and hydromorphone.

Other common depressants legal only with a prescription are:

a) Anti-anxiety medications known as benzodiazepines such as Attivan (TM) and Valium (TM)

b) Barbiturates, commonly prescribed for those with extreme migraines, examples are Fiorinal (TM), Fioricet (TM) and Luminal (TM)

c) Any medication prescribed as a sleep aid

The complete list of depressants is quite extensive, almost all of them have some sort of medical application which doesn't make them outright illegal, except heroin, which is illegal in most countries.