I actually really liked Leaving Las Vegas. I saw it as not being just depressing, but actually life-affirming in a way. Here are two people who loved each other completely, (fatal) flaws and all. I found that aspect of it poignant but not depressing at all. Yes, overall of course it is. But I guess I was glad for the characters that in their bleak lives, they at least found each other and had some measure of happiness. Wait - that has a familiar ring to it, hunh?
Perhaps I am masochistic. People marvel that I went to see "World Trade Center" at all, let alone on opening night, when my husband is a pilot for American Airlines. They say, "How could you watch that?" I'd have gone and seen "United 93" when it was playing in the theaters if I'd had a chance, too, but there was too much going on in my life during its very short run here and I missed it.
I think in general movies should be like any other art form - they should make you think and feel - they should connect you to a part of yourself you didn't know existed or that you'd forgotten you had. And they should haunt you. If they don't, what's the point? Or maybe that's just how I look at movies A.B. - After Brokeback.
I do occasionally go to movies for pure escapist fun, too. If I didn't, I'd never have seen "Spider-Man" or "Superman Returns" or "Crash."