Oh man, I like lots of things that are hard to watch.
With movies you’ve got Three Colors: Blue, Au Hasard Balthazar, Ordet, Diary of a Country Priest, The Passion of Joan of Arc, A Short Film About Love/Killing, Night and Fog, Safe, A Clockwork Orange, The House is Black, And those are just the film that would probably make my top 50. All are bleak and (to me) emotionally devastating in some way and yet I find myself returning to them all more frequently than more fun and happy films I love.
The Wire is one of my favorite shows and I know a lot of people have trouble getting into it and I totally get that. I even really like season 2 which a lot of people consider a slog. Not quite sure it’s hard to watch in the way OITNB is hard to watch, but it deals with similar realities of systemic problems of the American justice system that aren’t pleasant to watch.