My friend is in her room watching a movie on her laptop while I am in the living room reading articles about Regulation FD. Unfortunately, the movie in question is Monster, so she is gasping and screaming, "Oh my god! I'm going to throw up!" and "I don't know if I can watch this movie." Charlize is screaming, too. Tiffany refuses to walk away from it, though.
I knew watching it would be unpleasant and work provided a good reason not to. I didn't know I'd have to hear it.
A lot of graphic violence doesn't bother me. Neither does a really dark or depressing choice of subject matter. Some movies, though, seem calculated to make you feel worse for days after leaving the theater. I avoid those, even if part of me thinks that consuming critically acclaimed downers would be a valuable part of my film education. I don't eat a lot of vegetables, either.
Update: Will Baude comments. Without taking too much time from my current tasks, I wish to highlight the distinction between films and books that make you sad and those which delight in the degradation of their characters or seem to portray the most negative aspects of human nature as the most essential. I don't require happy endings. I do, however, wish to gain something from the experience of reading or viewing more than the irresistable urge to shower or a week-long despairing funk over the futility of the human condition. It's the difference between a dish of bitter greens and a bottle of castor oil.