I understand it's very ingrained in our culture at this point that this is a thing people do. But, if I decontextualize enough mentally, it starts to feel quite strange: manipulating one's brain into having a negative emotional reaction.
The answer is ultimately that if you deconstruct and logically analyse any particular human activity it either ruins the fun and/or makes you realise how primitive and dark most forms of entertainment are. People like being emotional, for whatever reason.
I like the explanation that says it’s about learning, though. Learning somehow feels intrinsically good.
Likewise, deliberately experiencing sad (or otherwise) emotional states has both short term and long term positive outcomes. In the short term we feel a sense of catharsis, and perhaps reassured that our feelings are relatable. In the long term we feel more in touch and less overwhelmed by our emotions.