So far I have read "Story of your life", "Exhalation", "72 letters", "Merchant and the Alchemist's Gate", "Divide by Zero", "Understand", "What's Expected of us", and "Hell is the Absence of God". I am about 50% through "Lifecycle of Software Objects".
So far, the stories all seem built on the foundation that we reside in an immutable clockwork universe and that the notion of "Free Will" is a complete illusion. It is this combination of absence of free will and "the future is already set and there is nothing you can do about it" that I find depressing. That I am merely a meat robot programmed to act in specific ways and that my actions therefore have no real meaning (because they are no chosen, but simply a result of my program).
The only real exception so far as been "Hell is the Absence of God" which was a black comedy exploration of "what if there really was a God, and he was a complete asshole?" which was depressing in it's own special way :)
That said... On the whole I find Chiang's stories engaging, imaginative, and well crafted. Recommended reading if you like near-future science fiction, AI, time travel, or genetics.