Actually, I'm going to posit that there is a narrow category of information that an individual is better off not having. (Aside from the agreed-upon lies and partial information that lead to incorrect conclusions.)
I go to the same deli every weekend for breakfast, and as a regular I've taken a liking to many of the people who work there. I recently overheard the boss talk about his plans to go duck-hunting that afternoon, and I almost immediately realized I'd be happier not knowing that: I'm unhappy knowing that my money (in whatever small way) is contributing to animals being killed, and knowing that a boycott (in whatever small way) would also negatively impact everyone else who works there. This specific example is a subjective emotional response on my part, contingent on my personal misgivings about hunting, but everyone has analogous buttons. (As an aside, consider that if he'd admitted to hunting dogs or cats, many more people would have much stronger reactions than I did.) In cases like this, "happier" does mean "better off" because there's no tangible or emotional benefit provided by the information.
If the information does provide some benefit, we could be faced with the task of weighing a negative emotional impact against personal improvement by way of introspection, or with the more difficult task of weighing emotional impacts against tangible impacts. The specific answers will vary from person to person because they're so heavily subjective, but even learned information with a partially positive impact can still have a net negative impact on the listener.
An entirely separate discussion ensues if information has a net negative personal impact, but also motivates the listener to contribute to some positive change affecting other individuals or society as a whole. Innate human altruism may cause the listener's pride at such an outcome to outweigh the initial reaction. Otherwise, there is still the question of whether the transmission of that information had an overall net positive impact; that is to say, whether the positive change outweighs the negative personal impact on the original listener. This matter involves balancing needs and responsibilities both among individuals, and between individuals and society. The astute reader will recognize this as a fundamental conflict spanning the whole of human existence and reaching all the way back to the first primate troop larger than a single immediate family.
As Demeter said, there's a lot of information out there that will upset you, and most of it isn't useful. Unfortunately, there's no way to extrapolate a protocol for avoiding information you're better off not having. You only really know the usefulness of a piece of information after you've learned it, and a comprehensive filter would catch a lot of inocuous things as well.
Thanks to lizardinlaw for prodding a more comprehensive writeup out of my brain.