Apparently, the answer is YES.
Researchers in Berlin (of course, Berlin!) have surveyed 722 people from all over the globe and asked them questions about the subject of sad songs.
The study “investigates the rewarding aspects of music-evoked sadness” and has published it’s surprising results in a research article titled “The Paradox of Music-Evoked Sadness: An Online Survey”. (Special note: the title of this study, unlike emo music, evokes sadness) Feel free to peruse the report at your leisure here.
So when your parents, or friends get all up in your shit about listening to so much emo, just quote the researchers and say, “Music-evoked sadness can be appreciated not only as an aesthetic, abstract reward, but it also plays a role in well-being, by providing consolation as well as regulating negative moods and emotions.” That will shut their faces up.
On a surprising note, the authors found that nostalgia (and not sadness) was the most triggered response to sad songs. Hmm. I remember being nostalgic.