There's a spectrum of responses to the idea that stories have the power to affect us. On one extreme lie the folks who say that stories are dangerous and should be avoided at all costs unless they are safe and uplifting, free of all the bits that might make us uncomfortable or indicate anything beyond surface-level sin. On the other end sit the folks who say stories don't affect us in any way, so let's all just enjoy the show, you bunch of kill-joys. (Incidentally, there's a third group which occupies a place at either end of this; this group acknowledges the power of stories, but believes stories can only affect us positively and therefore should be enjoyed without thought or worry.)*
The best stance, from my experience, lies somewhere in the middle. We must acknowledge that stories can affect us, for better or worse. Most of the time, stories will make us happy, help us experience catharsis, or inspire us to think. They are useful for developing our minds and emotions (yes, even the stories with Bad Content).
But sometimes, I think we have to go back to Jesus' words in Matthew 5:29-30 --
If your right eye makes you stumble, tear it out and throw it from you; for it is better for you to lose one of the parts of your body, than for your whole body to be thrown into hell. If your right hand makes you stumble, cut it off and throw it from you; for it is better for you to lose one of the parts of your body, than for your whole body to be thrown into hell.
In context, Jesus is talking about adultery, so the obvious application of these verses is to lust and other internal sins. However, what if it be a story (or type of story) that causes us to stumble? We might imagine Jesus addressing such a situation as follows:
If watching Game of Thrones makes you stumble, don't watch it, regardless of how cool your friends say it is; for it is better to lose the enjoyment of one story than to enjoy it and be separated from Me by it. If reading Harry Potter causes you to stumble, don't read it not matter how your friends insist it's okay; for it is better to miss out on one story than to be separated from Me by it.Yes, it's an extreme example using a series I cannot personally enjoy (GoT has too much nudity for me to safely enjoy it**, and I don't care for the books because they're so depressing) and a series that I do enjoy (but if for some reason Harry Potter causes you to stumble, don't read/watch it).
But the principle still applies. Addicts, if they are recovering and sober, learn that there are habits, behaviors, and even thought processes they must avoid in order to remain sober. As fallen human beings, sinners saved by grace, Christians must also learn to avoid whatever tempts them or might lead them into sin. These guardrails (to borrow from Andy Stanley's terminology) are not always the same for everyone. While there are many clear statements in Scripture about what is and isn't sin, there are also many more areas of life which are not as black and white. There are large gray areas each person has to establish personal boundaries around in order to avoid sinning.
Stories are one of those areas. If you find yourself enjoying a story, that's wonderful. Keep on reading, watching, listening, or playing. But if you find a story leading you down a mental, spiritual, or emotional path that isn't healthy for you in some way, cut the story out and don't look back. If we can allow ourselves to leave a book because it isn't good (i.e. interesting or well-crated), we can leave it because it isn't good for us.
* On a side note, for either of the "just enjoy it" camps, artistic quality is probably a concern; the "safe and uplifting camp" often tends to sacrifice art for the sake of the cause (protecting readers and viewers from Bad Content).
** This is a personal guardrail of mine; others have already discussed whether the show is safe for Christians in general.