On one hand I love this type of music, but on the other hand I think it's not good to indulge in the sadness or depression it depicts, as sadness or depression serve no positive purpose in one's life. It may be ok to listen to it as long as you can separate the emotion and feeling from the music
There is also a chinese movie that is very sad and depressing which I love, called An Elephant Sitting Still and it is my favorite movie