"Staring out the window,"

He's trapped in the cage of his apartment staring at the world outside. Think 'Kafka" heh heh

"it's such a long way down."

Yes, it is a long way down to the pavement, but more importantly he is reflecting the the long journey he has taken from innocence to one who is so miserable (like in Lonely at the Top)

"I'd like to jump,"

there are a few meanings here, but the two most important are probably:

1) He knows he needs to do something to change his life and be less miserable and bored--to take a plunge and be 'reborn' so to speak. And

2)also, he is miserable and bored and ponders killing himself.

"but I'm afraid to hit the ground."

He is weak. Too weak too make a 'jump' with 'such a long way down.'
He is also afraid of screwing up--of taking the 'jump' for change and screwing it all up because, as you know, he is very insecure.

Misery likes company

Yes a common phrase meaning that those in misery like to be around other miserable people or like to try and make other miserable and that one bad thing follows another in this world (like he says, outside the world is burning, it's so hard to believe)...it all ties together

I like the way that sounds

Just an ironic musing on his own loneliness. Picture yourself saying this
line in this character's position. And remember the lines that follow it:
"I've been trying to find the meaning, so I can write it down"
It is an interesting way of putting thoughts on paper without simply saying "I am lonely and depressed, poor me. Boo-hoo"
Instead, he defines loneliness by leaving the listener responsible to "find the meaning' of loneliness. That way, the listener always understands because the listener made up the definition to begin with. It is pretty clever for rock music.

The best way to understand these lyrics is to place yourself mentally in the same smokey apartment doing and saying the same things that the singer is, but without the music. And then ask yourself, why would I say that if I were him. Then you'll get it.