I do James. Same thing with stories in newspapers or magazines.
I think there's a few reasons.
When it's a movie or TV show, usually the bad guy gets caught or worse. That's kind of rewarding, even if it is fantasy.
Sometimes it's so I can experience some strong emotions about it but still be at a safe distance. I can get mad, scared and cry my eyes out but it will soon be over or I can just shut it off if it's too bad. It's kind of a safety valve for emotions and makes it a little easier to deal with my own.
Sometimes it's like I deliberately want to get mad or feel hurt. If I want to get mad it's probably because emotionally, I feel "flat" or somewhat down in the dumps (the blues, the blahs?). Getting mad seems energizing or even righteous.
The worst case is looking to let the hurt back in. For me, this usually means that I'm trying to replace some other emotion that I don't want to face. Like guilt or hoplessness or even just the feeling that I'm messing things up again, and can't do anything right.
In some ways it's an excuse, a crutch, and a negative coping method.
I guess you're talking about Law & Order: SVU, tonight, aren't you? I watched the whole thing too, but I did ask myself "WHY?" several times.
In this case, tonight, it was because I wanted to see them get caught. I was glad when the detective beat on the travel agent/pimp tonight.
Not a very flattering admission, but there you have it.
If you understand everything, some things are just as they are. If you understand nothing, things are still just as they are.