Worst case of this I've had is last year when I attempted a book called Dreamfall, which looked like a nice sort of grimly romantic late eighties/early nineties sci-fi. Which it was, but holy cow was it depressing. Not beautifully sad, or over-the-top flowery misery, or soft melancholy, just flat-out life sucks people are crap depressing. Really good, but I didn't have the stomach for it at the time. Maybe next summer after my sixteen hour Ph.D. exam of death I'll drink a bit too much wine and sit around beside the lake finishing the damn thing and feeling thoroughly like crap.
So now I'm rereading Song of Achilles, which is sad, beautiful, and with absolutely gorgeous prose. Also delightfully and unabashedly homoerotic.