So what creates these intense emotions? How can they be explained? The go-to theory here surely is appraisal theory - this group of theories distinguishes itself from others in that it focuses on what conditions/situations/events elicit a specific emotional state. Different people react to the same objective situation differently - appraisal theory hold that this because the meaning and the implications for everybody might be different. The emotion is not caused by the event directly, but by what that entails for you, now ... Typically the key feature then that determines whether you will have an emotional reaction (what you show, feel, how your body responds) is to what degree the event is perceived as relevant for you. If it is not relevant it should not do much, if it is highly relevant and it is either important for or against your goals and needs then something should happen.
Consider some stranger getting into a car and driving off - no big deal. If it is your car that would be a different story. You see an apple - if you are really hungry and there is nothing else around, you will see this apple with different eyes then when you are not hungry. Magda Arnold, the "mother of appraisal theory" already discussed things like that 50 years ago and of course many philosophers did before. There is no need that these goal states are as biological as hunger, thirst, or having to go to the bathroom (a locked door then can mean a very different thing under such circumstances), but for example, a bus closing its doors in front of you when you have to be somewhere on time vs when you are on vacation and you have much time.
But what about things like TV or film? Why would you care about a fictional character dying on screen? Why can a novel move you to tears? Why can a football match create mayhem? Let's wait for the final to see who wins the cup and I will continue from there ... In the meanwhile I invite comments and I also invite you to participate in our studies here.
A good overview over appraisal theory can be found here.
... and ... do emotions explain the death threats to Paul the octopus?
Arnold, M.B. (1960). Emotion and personality (2 vols). New York, NY: Columbia University Press.
Scherer, K. R., Schorr, A., & Johnstone, T. (2001). Appraisal processes in emotion: Theory, Methods, Research. New York: Oxford University Press.