There's nothing wrong with enjoying a melancholy feeling. Wallow in it if you want. Just remember that feeling melancholy, depressed, and sad is NOT more legitimate or meaningful than feeling content, peaceful, and even happy. There's a tendency in Western societies to credit negative feelings with more weight--the tortured artist is typically viewed as "deeper" than the artist who shows contentment and joy. This bias has no real legitimacy, so do let yourself out of it if it's impeding your life. Even just examining how you feel about how you feel can be interesting.
But, if you're melancholy and want to wallow, you might try Plath's poetry, the poems of Anne Sexton, Robert Lowell, the stories of Raymond Carver, Andre Dubus, J.S. Salinger (not Catcher in the Rye, the other ones). I love the novellas of Banana Yoshimoto, a young Japanese writer who explores her feelings really well and shows a lot of insight into Japanese cultural expectations about emotions, especially among Tokyo kids in their 20s.
Woody Allen's movies have a lot of insight into willful angst. Try Manhattan or Annie Hall or Hannah and Her Sisters. Love always saves him from existential despair, and he's funniest when he's in the throes of some private agony.
If you want a novel, Sieze the Day by Saul Bellow could be good. Also, The Shipping News, whose protagonist Quoyle finds a place where his strange outlook is understood. Play It As It Lays and Slouching Toward Bethlehem, both by Joan Didion, are great, meditative books from a melancholy point of view.
Another thing you might lilke to do is to get at your own melancholia by writing through it. If you studiously avoid cliches, you will probably find some satisfaction there.