I Do This All the Time.
It's terrible, really. I'm a compulsive playlist-maker. I make them for every mood, for events and trips and things. But I have atleast 4 or 5 playlists dedicated solely to songs that make me sad. They're my favorites. It's ridiculous.
And when I'm sad, I purposely play sad music, knowing full well it's just going to make me more upset! Not sure why I do it. It's just so nice to listen to sad music... makes me feel like someone understands how I feel. Plus it's a nice soundtrack to cry to.