There are 11 or 12 movies I watch every now and again that make me feel like complete sh*t for like a week after, but in the best way. Not necessarily because they're sad or tragic (though some of them are), more because there's a realness, or precious quality to them. I feel melancholy for days but I also have this weird clean slate feeling, where suddenly there's a little optimism coming back into my life and I feel kind of good about the future.
"Eternal Sunshine of the Spotless Mind" is one for me. "The Royal Tenenbaums" is another, along with "Almost Famous", and oddly "The Princess Bride". And "Synecdoche, New York" Is probably the most wonderfully depressing movie I've ever seen.