As far as the themes of "Ulalume" go, this one has to take the cake. The poem like a giant bowl of sadness with some depression and dejection crumbled on top. On the other hand, the fact that the speaker is sad doesn't mean we have to be too. This might be the kind of sadness you kind of enjoy, like watching a tear-jerking movie or listening to a song that makes you cry.
The beauty of the words in the poem creates a soothing, thrilling effect that counteracts the sadness of the subject.
The union of the speaker and his soul in the final stanza creates a feeling of hope. Rather than being divided and confused, the speaker begins to take a clear, useful look at his terrible sadness.