People love hot peppers, sad movies and roller coasters for the same reason
Once, while I was a younger idiot, I was tramping around the woods in Hawaii near my sister's old place when I came across an innocent-enough-looking hot pepper, maybe an inch and a half in length, orange in color, supple to the touch. Having spent a lifetime eating hot things, I knew I had to have this one; after rushing home, I set it on a cutting board, sliced it open, threw it in my mouth. It was the spice equivalent of an LSD trip: The rest of the world fell away, my consciousness enveloped in heat. It was awful, awe-inspiring, and awesome. Chili is a hell of a drug.
Apparently there's a word for such sweat-inducing, pain-relishing enjoyment: benign masochism. Coined by University of Pennsylvania psychologist Paul Rozin and freshly written up by Kendra Pierre-Louis at Aeon, benign masochism describes the range of human pastimes where you enjoy the hell out of doing something unpleasant, whether it's getting your heartstrings yanked by sad movies, your stomach flipped upside-down by roller coasters, or your tongue burned by peppers. "Benign masochism refers to enjoying initially negative experiences that the body (brain) falsely interprets as threatening," Rozin and colleagues wrote in a paper for the journal Judgment and Decision Making. "This realization that the body has been fooled, and that there is no real danger, leads to pleasure derived from 'mind over body.'" It's conscious enjoyment of physical discomfort; the acquiring, if you would, of a taste.
Fitting with certain gendered stereotypes, Rozin's research finds that women are more likely to enjoy the slow burn of sad movies (though men can be converted, as evidenced by how Zac Efron's character cried with his adopted sorority sisters watching The Fault in Our Stars in the seminal Neighbors 2: Sorority Rising). Conversely, men are more likely to enjoy the intense alcoholic flavors of beer or Scotch. Meanwhile, people given to sensation-seeking are more into fear, like roller coasters or horror flicks, and folks who could distance themselves from the movies they saw were more likely to enjoy sad ones.
There's a lot going on as to why benign masochists enjoy their mildly self-destructive pursuits. Pierre-Louis notes that in the case of spicy food, brain receptors that are otherwise usually triggered by when you put food hotter than 110°F or acid (!) are activated by chili. "Most significantly, the body's natural processes trigger internal opiates in the face of pain, which suggests that chili-pepper eaters are essentially drugging themselves," she writes.
As for sad films, books, and other art, my money is on what Aristotle thought the function of tragedy to be when the ancient Greeks invented it 2500 years ago: Dragging you through emotions you spent your real life avoiding, drama leaves the viewer cleansed. So, in a sense, do those chili peppers.