The exciting part is there are different concepts of it that start from different foundations and arrive at the same thing. It’s suggestive that our understanding is incomplete and there are deeper levels of understanding to uncover. And it _could_ just be the case that the universe started with low entropy for no reason, but if there are reasons and we ponder them it could lead to some massive epiphanies in physics/cosmology.

What's depressing about it?

They are hung up on determinism and absolutes. In that world-view entropy is literally the devil.

I’ll wait for the GUT before I declare something the most depressing concept