Lyric discussion by erikpieter 

Cover art for Straight to You lyrics by Nick Cave and the Bad Seeds

To me this seems to be about his drugs addiction.

The moment when the highs are not so great anymore and the lows are worse and worse. But still he has been captured and keeps going back. The second verse describes this perfectly: "Gone are the days of Rainbows" "For the sea (the low) will swallow up the mountains (the high)"

The recurring sentence "one more time" seems also an obvious pointer towards addiction.

@erikpieter I have always felt it was about heroin.