Read David Lodge books. Particularly I recommend Paradise News and Nice Work. Not depressing and great works of art. They are funny and tricked out with a lot of creative writing gimmicks, but they are very serious as well and can hang with the greatest writings of fiction. They are also very didactic books, and you will learn so much as you read.
Loving Sabotage by Amelie Notthomb is a modern classic, and reads like a book for the ages. Both funny and tremendously serious.
However, I recommend that you not read reviews about the stories before you read them. Avoid a synopsis. Personally, I avoid reading the synopsis on the back of a book. Just read the first few pages and you will know if you are going to like it.
Although it is non-fiction, I also highly recommend "I Wonder as I Wander" by Langston Hughes. Again, you will learn so much and be so surprised. A great book by one of America's greatest writers.
If you are ok with reading plays, then Hate Mail by Bill Corbett is a good one to start with. If you like that, then his The Big Slam is also great and quite a bit more complex. Both contain some tremendous material that will stick with you for years and yearts after the reading.

Good point, kaiser100. I'm an English Lit major (undergrad) who didn't read some of the more depressing works assigned to me, too. If it makes you feel bad, why subject yourself to depressive thoughts in the name of "art." There are so many more lovely poems and books in the world to be read. Stick to your guns. Best wishes . . .