While it's not a topic I'd given much thought myself I did find myself agreeing wholeheartedly with this report by Meghan Keane: 'The Office' is the Most Depressing Show on Television. Basically it goes into a perfectly articulate delivery on how Jim Halpert's character has gone from loathing his job and mocking it, to becoming a part of the system - and failing at it. If you're a fan of the show it really is an essential read (and by fan I mean someone that has watched it regularly, you don't have to actually like it anymore). Not that I want to spoil the entire article but this last paragraph really nails it:

And as he uncomfortably settles into his partitioned office, Jim's story is starting to resemble the worst purgatory of 30-something life. Each subsequent episode now brings with it a reminder of Jim's failure, the harsh reality that having dreams is no indication that you'll ever achieve them. If there's something more depressing than that—and less funny—I'd be hard pressed to find it in prime time.