I can understand watching depressing movies or listening to sad music. When my depression gets bad, it's like I can't absorb happy stimulus. Listening to happy music in particular is almost impossible, because all it does is make me notice just how numb I really am. It makes me resent the artist's happiness. How dare they be happy when I'm so miserable? (I realize that makes no sense, it's just how I seem to function)

That being said, I do try to limit the amount of depressing music or tv that I expose myself to when I'm feeling down. It certainly doesn't help. If I can't make myself watch something happy, I'll watch something that reminds me of a happier time instead. For example, a movie I went to see with my friends, a tv show I used to watch when I was younger, a song I remember my mother listening to whenever she did laundry, etc. The content doesn't matter as much. What I'm trying to do in those times is transport myself back to a place when I was feeling anything other than numb or depressed. Sometimes nostalgia, while bittersweet, can be a step up for me.