Well, I gotta say...I get the same way. And it's the same thing: I get so involved with the characters, that I just get sullen and upset that I'm either not there or that something happened to the characters. Actually, books are even worse for me. You should've seen me after "Middlesex"...I was a mess!
I've tried to distance myself from the character(s). The other thing I've realized (especially if it's something on the screen) is that I REALIZE that life is never like that. The reason I'll never be friends with these people (or people like them)? Because it's SCRIPTED and their personalities are not real. I just try to keep reminding myself of that. What has happened recently is I get really involved for a day or so...looking up EVERYTHING about the show/characters/writers/etc. And then I get the whole thing out of my system.
I dunno...I try to maintain actual personal relationships in my real life. The reason for this is because I often find myself ALONE after I watch these/read these things and I'm left thinking about it.
Good luck. I've found that as I age, I'm becoming less and less likely to react to media so explosively.