I think the number one thing that makes books depressing for me is the sense that there is no narrative arc. As you mention, passive protagonists contribute to this. Also, authors who hit their characters with one bad thing after another for no apparent reason. (Like the Mists of Avalon. That book drove me crazy.) If I want conflict with no meaning, I've got real life! (And indeed, I deal with problems in my life that I can't control by mapping them to a narrative arc and hopefully giving me a guide for what to do and how to react.)
That's probably why formula novels make such nice comfort reading. You've got a nice sense of where things are going.

For me, I love gothic mysteries, noir mysteries (esp Raymond Chandler and urban fantasy writer Kat Richardson), romance by Jo Beverly, and Terry Pratchett.