Okay, I've read this thread and have thought about this for a few days and still haven't come up with a good answer. Phil_geo made some comments about the Thomas Covenant series and that since something very bad and unacceptable happened because of the main character, that he was unable to finish the book. I put the Thomas Covenant series up there as one of the best series ever written. But I have to admit that because of what happens at the beginning of the first book, that I almost quit reading it also. It was something that was hard to take and accept. There is absolutely no forgiveness for this action. However, the main character because of his circumstance, did it to prove to himself that the world he was in didn't really exist. Unfortunately, he is dead wrong. He has a hard time accepting the fact that after all of his years of suffering in his world that he can be in another world where he has no physical suffering and thinks it is all a dream or something his mind has made up and he can't accept that. But, granted, it is something that has an effect on many readers. And unfortunately, many people don't continue with the book or the series once they read that part.
So, after something so bad happens early in this series, what makes it such a good series? I think the fact that Thomas Covenant is so imperfect makes the series so much more believable. Plus, there is the fact that a lot of the other main characters in the series are so memorable and well developed that you really care about what happens to them. Even with Covenant's major crime at the beginning of the series, which he continually feels sorry for throughout the series, you still feel for him in his dilemma of trying to accept the fact that everyone thinks of him as a hero and he doesn't want to be.
On the other hand, too much tragedy has caused me to stop reading a series. There has to be some kind of balance or redeeming quality to keep me interested. Since I loved the Thomas Covenant series so much, I thought I would try another series by the author Stephen R. Donaldson. I read the Gap series (which interestingly enough is a sci-fi series). That series was so dark and tragic but I kept reading hoping for something redeeming to happen. One of the main characters in this series is a woman who seems to have one bad thing after another happen to her, usually at the hand of different men. I read the entire series up until I was half way done with the last book in the series (four books if I remember right). Even this close to being done with the series, I couldn't take it anymore and set the book down without finishing it. It was too depressing to finish even being that close to being done with it. Some of the things happening in that series were just downright disgusting.
So what made the things that happened in the Thomas Covenant series acceptable enough to still love the series and the things in the Gap series so bad that I couldn't finish it? It could have something to do with other redeeming qualities that come through in the series. Maybe I need some good to happen in a series to balance out that dark things that happen. But I have read some very dark books and enjoyed them just the same. For example, Clive Barker is one of my favorite authors and they don't come much darker than him. Many of his stories in The Books of Blood series have no redeeming qualities whatsoever, however, I just had to keep reading to see what the next story was about.
One of the attractions to the fact that certain authors don't seem to mind to let their main characters die off or do something unacceptable in society is that you never really know what to expect of them. To me, it makes the story even more believable and suspenseful. Where is the fun in reading something that you know that the main characters are invincible? I think what makes certain tragic stories easier to read is the way the author handles the death or the fall of the character. Is there something redemptive in the death of the character? Is there forgiveness or regret in the mind of a character that does something devastating? Has the author developed the character well enough that we care enough about them to continue reading to see if something "redeeming" will happen that will "save" the character?
And here is a question to think about. Why is it that it is easier to accept the "bad guys" in a book constantly doing things that are tragic or unacceptable to society and hard for us to accept the "good guys" making an occasional mistake even when it can be very serious. I have to say that there is a greater level of believabitly (is that a word?) when we see how tragedy, mistakes and death can affect characters in a book even when bad things happen to or because of the "good guys". But I tend to beleive that an author makes tragedy, mistakes and death more palatable by the way they handle the situation, the way they develop the characters and the way they redeem the character for the bad thing that happens. And yes, to me, too much tragedy in a book or series is just as likely to keep me from finishing it as is too many good things happening to characters will keep me from finishing a book. An example of this is the book by David Eddings "The Redemption of Althalus". This book was so hard to read because nothing much ever seemed to go wrong with the "good guys". I never finished that book because it was hard to beleive that everything they did turned out to be the right thing. Where is the suspense in reading something like that? Besides, I didn't really care if the characters all died in that book anyway. They weren't developed enough to care about and the weren't human enough to care about either.