I read sad stories to make me feel sad. Tragic even. Life isn't sad, it is mostly unfulfillling and boring - which I guess is sad in itself, so we (I) use stories to emphasise with the suffering of the characters in it and make our lives feel meaningful through proxy - by suffering in the right and exciting ways. In other words, for me it is just an expression of my inner degeneracy as a human being, of which I am only ashamed of to myself.
A better person (a breed I have unfortunately yet to encounter) would read a specific subclass of sad stories to learn something from them, to elevate themselves to a higher level, to feel inspired - or other such activities. But a better person would also not lead a boring and unfulfillling life, so it isn't surprising I have yet to meet one as they are i) not a cog in the machine I am an unfortunate part of, or ii) at the helm of it, exploiting me and everyone else (although the second case may also be just as unimpressive as me and the rest of the dirt).