"Lonely Day" was written by System Of A Down guitarist Daron Malakian, who also sings lead on the track. The song seems to be about a particularly difficult day in his life. The line, "It's a day I'm glad I survived" indicates there is some event he is trying to forget.
This song got a Grammy nomination for Best Hard Rock Performance, but lost to Wolfmother's "Woman."
The lyrics contain a double superlative that would make an English teacher shiver: "The most loneliest" is incorrect grammar - the correct form is simply "The loneliest."
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