Am I an emotional masochist?

Well, it's a change from your normal life. I think you answered your own question. If you had disaster and tragedy and non-fictional torment in your own life, you probably wouldn't be able to handle the fictional stuff as well. You sound very young. The more life you live, your interests may change. For now, enjoy the feelings if they interest you, and don't be afraid to explore new kinds of media too if suddenly the sad stuff doesn't work.