Why Do You Love To Read Tragedy?

Because Ai-chan is a psychopath. Ai-chan can't really cry and Ai-chan doesn't really have strong feelings other than anger. So reading tragedy is Ai-chan way of trying to understand why some people are cowards and crybabies. 

I don't love to read tragedy.......far from it 

People like tragedies because it’s the most realistic way of story telling and the best way to evoke emotions in the reader. 

[cough]
...It changes beautiful and kind stories, and often emotion and much more presents ~ 

Oh ok thanks I will give it a try 

Because I want to cry.

Sometimes the story gets me crying but, once I have started I'm not entirely sure I'm just crying because of a tragedy in the story I'm reading.

It's a good stimulator to get you crying your heart out and relieve your stress at times. 

Shakespeare wrote three main types of plays: tragedies, comedies, and histories.  Of these the tragedies are the most celebrated.  The same goes for Greek tragedies, Le Morte d'Arthur, Chinese operas, and so on.  But I'm not really going by tragedy in the Greek or Shakespearean sense.  Instead, I'm talking about stories which purposefully cultivate a pervasive feeling of sadness in the reader.  It doesn't matter whether it's a lot of people dying, or a single person dying, or even no one dying at all; these can all be tragedies or they can all be non-tragedies.

Take for example a novel that much of NU would think of as a tragedy: "a Step Into the Past".   This novel is generally considered a tragedy because several of the protagonist's lovers die over the course of the story.  Personally I don't think that this is sufficient as these characters dying is only a very small amount of the story and the sequences aren't really that interested in focusing on sadness.  It's much in the same vein as a scene near the beginning of the story where the protagonist's parental figures die. 

There are some mind-breaking events or concepts in literature and in life in general. Some people can't handle them , but if you do face them head on you become a stronger person.

I'm talking about that moment where you go "HOLY SHIT" and you have to take time out to come to terms what just happened.

Also tragedy poses very difficult questions, there's this classic book I read about a terrorist group forcing a dude to bomb a hotel. They had his wife and lover under the gun.
What would I do in that situation? I dread to think 

I guess I like to cry every once in a while but I also don't like to read tragedy all the time because it makes me sad. haha gotta balance it out. 

That was wonderful, @Return. As you had achieved awareness of how ephemeral life was, and not too attached to suffered by its loss.
Tragedy often involved deaths, be it of the main character, side character, or background character.
But it just one part of the bigger theme of tragedy. Tragedy was more about how an individual facing the bigger unstoppable forces of authority violence, religion extremes, society herd mentality, discrimination, tides of changing time, fortune *cue O, Fortuna*, etcs.
The one good thing of tragedy was that most deaths were not meaningless, but the direct logical consequences of characters' previous acts, mistakes or inaction. Death often marked the tipping point where the house of card of good time was brought down. It alerted that something very wrong had been going on and the culmination of leaving it unchecked was someone's death. So then, the characters, often devastated by deaths of loved ones and greatly wounded by misfortune, were left with how they would face the consequences.
Here the juiciest part that all tragedy lover were suckers for. The characters could collapse by self-blame into oblivion; try to make peace with what happened: try to forgive, justify, or assimilate with the surroundings (no matter how creepy); try to escape; try to become better themselves; or try to furtively change it (read unstoppable forces). Whatever the choices they made, when cornered, humans would bare their truest selves, their strength of convinction, the best or the worst human were capable of commiting. *~panting roughly~* 

Woah
there you sound like albedo there for a moment 

It provides a different perspective, in a story sometimes it means that the author is willing to take chances. It is a great tool if done correctly and brings out the best in a story.