Soul rending literature can have this effect on me. In the past ~5 years I would cite The Waves, Infinite Jest, Suttree, The Shadow of the Torturer, Darkness at Noon, a lot of stuff by Raymond Carver and Breece D'j Pancake...becoming completely engrossed in a superb book and then having it come to an end is a weird feeling.

TV & Movies not as much, but I can at least think of Breaking Bad and I'd maybe also say Chungking Express and Eyes Wide Shut.