I don't think I've ever watched anything more deeply affecting and often disturbing than the Game of Thrones television series.
I find that very surprising to hear.
to make something "deeply affecting" is just a matter of creating characters and situations that the reader/viewer is emotionally invested in.
yes... 'just'... LOL
science fiction and fantasy can actually be an effective way of presenting unpleasant realities for an audience, and conversely many "real" films are just fantasy.
We're getting into the realm of personal taste again, which isn't a productive conversation, but I would say objectively the less you have to suspend disbelief the less escapist the genre is. I just thought that up now, but let's try that idea on for size.