Cathartic Ending
All in all, tragedies sound pretty... well... tragic. So why do we love them? For their cathartic endings. Aristotle felt catharsis was a form of purification, when we watch a tragedy we experience pity and fear for our tragic heroes, and through experiencing this, the audience learns to feel emotions at deeper levels.
It goes something like this: you have lived through the downfall of Romeo and Juliet, and you leave having learned from that experience, having been disturbingly fascinated and affected, and you are relieved it has ended.
Most importantly, you are relieved that it isn't you!