How much do we bring ourselves ?  

I have major depression and I am a highly sensitive person, and a writer to boot. So, I can totally relate to what you are saying. I do my best writing when I am depressed. But, there is nothing that I like about being depressed. I have been so depressed at times that I am litterally paralyzed and can not move any part of my body.
I can also relate to the slow, sad, beautiful music, that is why I don't listen to it any more. If I want to sit and cry and moan and have an all out pity party, all I have to do is put on some sob music and there I go.
I choose I different route now. I put on some gospel or positive upbeat music and I jump up and dance and thank God for giving me another day, that someone else did not see. I know about clinical depression and chemical imbalances, but I also know that many times I can choose the mood that I want to be in.

Don't feel guilty for liking music. We don't like in Utopia. Everyone strives to be happy, but EVERYONE feels pain and loss at some point in their life. Everyone has to go through their own struggles, and it is those things that help shape us and make us stronger. I also believe that pain, hurt, suffering and loss help us identify HAPPINESS better and make us respect it more when we have it.

Depression and Mental Illness are completely different from the above. And we should not wish that on anyone for the sake of reducing boredom in our lives. It helps to be aware of the fact that Mental Illnesses are like any other disease, those who are ill did not bring it upon themselves, and they can be treated with the care of a doctor. Being unhappy and being clinically depressed are two different things. You don't HAVE to have depression, you can treat it. BUt I think life will throw unhappiness at us sometimes. THat's not always such a bad thing if we learn and grow from it.