Depressing?

My friend Jen made a fair comment on my last jeremiad, saying it was the most depressing post she has ever read. She then added something that got me to thinking..."and you said Pan's Labyrinth was dispiriting!"
Yeah, I did.
Fantasy is something I generally avoid in my reading and viewing. Call it a fault of mine, a defect of imagination, but I prefer my characters human and my settings at least halfway plausible. My chosen form of escapist literature is either historical or speculative fiction: what might have been, what could be. There are exceptions: the world of Harry Potter is clearly impossible. But J. K. Rowling is so adept at world-building that you come to believe, over the course of just one novel, that Hogwarts just might exist, if only you knew where to look.
Likewise Guy Gavriel Kay sets most of his fiction in a world ever so slightly removed from our own, and incorporates his supernatural elements seamlessly. But you take something like Lord of the Rings. I've tried three times to get through that--mostly, I'll admit, because it's on The List of Books Which You're Supposed To Have Read--and I can't do it. Part of it is Tolkien's dense, well-nigh-inpenetrable thicket of words, but a greater part is that I have a hell of a time relating to just about everything. Even the humans in that tome don't seem very human to me.
I rented Pan's Labyrinth after reading what seemed like an endless parade of glowing reviews. Rarely have so many critics led me so far astray.
Yes, the acting is great, all around, and the story engaging enough to make the viewer forget he's reading the movie. (It's in Spanish with English subtitles.) I knew going in that the movie was, by and large, a fantasy.
I didn't count on the gratuitous violence. There's a scene very early in that more than sufficiently establishes the sadistic nature of the male lead--it made me wince, but it was effective as hell. Then people start getting shot in the head, and before long I feel like I might have been shot in the head myself. Do they have to show everything?
I really didn't count on the ending rivalling the novel version of Pet Sematary for sheer bleakness. Eva reminded me that fairy tales used to be much darker than they are now. I can handle endings that aren't the happiest, but I'd naively assumed a fantastical film wouldn't pull that rug out from under me so brutally. I know better now.

It's strange, you know. I can handle depression and brutality in the flow of daily events...probably because I expect it. I can likewise handle gore and grimness in historical or speculative fiction, the former because I know the world was once a much harsher place, the latter because I truly feel it will be again. But set something in another world--offer me a total escape hatch--and I think it ought to be a happy escape.

I'm odd, I guess.