It's compelling to watch a very good person turn very bad, but with the best of intentions. I'm not a fan of uncomfortable humor, and I am certainly not a fan of uncomfortable constant bad to worse scenarios for people, but since the main character is motivated by 'good', I still want to watch. You sort of ask yourself, given his situation, what would you do differently (maybe not cook meth for starters)? You can sort of empathize and relate on certain levels, which sinks the hooks in even deeper.
I've not been depressed by the show, but man, that poor guy has been through some shit.