The Goldberg variations get me too. There is a sophistication, a preciseness yet a simple beauty about them which just affects me in ways I can't explain.
There is, I like the Glenn Gould recordings. I remember how spellbound I was within the first few notes of the air, the first time I heard it. I don't care if he plays weird, it's worth it for all the emotion and passion he injects into his music. I'm one of those people who thinks Gould just dominates Bach keyboard playing; I've listened to his performances alongside other interpreters and it doesn't even seem close.
You're right Saturn, baroque music can be a bit sad even when it's happy.