I could never understand why anyone would want to watch sad movies. I go to a movie to be entertained, not to be depressed. Nor do I understand why people enjoy movies that scare them.
The only way I feel true empathy is when I watch movies, and I feel for the characters depending on which movie it is. For example "Eternal Sunshine of the Spotless Mind" really moves me. I have shed some tears a few times with different movies, something that doesn't happen very often.