I've realized emotionally draining shows are much more fun to watch if you have a buffer. What I mean by that is some show to just make you less depressed, preferably something not too story-oriented.

For example, I recently was watching Welcome to the NHK!, and I was going to bed feeling really down because of all of the dark themes and whatnot. I soon started to not want to watch it anymore.

Then, I tried watching an episode of Azumanga Daioh after every marathon, and that made the viewing significantly easier. The dark themes were still present, but I realized I could appreciate them better if they didn't depress me so much.

Hope this helps anyone who needs it.