I came across this band while listening to the "break up" episode of This American Life where the young lady tries to come up with some kind of break up song with Phil Collins. In the episode, they feature one of the songs from Magnetic Field's 69 Love Songs album. Immediately I went out and grabbed the 3 disc set and gave it a listen, fully introducing myself to one of my favorite bands of all time.
They say that Stephin Merritt, the front man of this band, is the most depressed guy in music and it shows. Each track in the 69 Love Songs album, as well as Holidays and "i" have a rather somber feel to them, which makes the band great to "gloom" out to. Each of the more recent albums ("i," 69 Love Songs, and Distortion) follow some kind of theme which overlays all of the tracks, which is a gimmick that I really warm up to.
But what sells this band, and the artist, for me is the lyrics. I've never come across lyrics quite like these where they express such poignancy in so few words. Take "Absolutely Cuckoo" from 69 Love Songs, for example. It's only a minute or so long but the song essentially gives a breathless disclaimer to a potential suitor that things won't work because they'll eventually realize how crazy the person is and leave. Of course, my summary doesn't give the song all that much justice.
If you can, give them a listen via their myspace page or their last.fm page. You can even check them out on Pandora and see what other bands are similar, as this type of music is not without Merritt.