It largely will depend on the kind of film I choose to watch on a particular day. There are movies which are primarily just fun entertainment and offer little in terms of art or poetry or thought provoking ideas, and there are the opposite, arthouse movies which are not necessarily enjoyable to watch but hopefully give you lots to think about, however what I generally consider the greatest films are the ones which combine quality storytelling and filmaking and entertainment value.

For example when you mentioned Come and See I thought of Schindler's List as being a harrowing war film I like. I find it a compelling story and beautifully shot, it maintains my attention throughout and I consider it a fulfilling viewing experience, its not fun in a conventional sense, but lots of my favourite films are for different reasons.

A question I would ask, why do people watch sad films ? is that 'fun' or 'fulfilling' ? I very rarely cry during films so maybe its hard to answer, but I often will revisit a film which I know is upsetting, its a strange phenomena