Also empower your coworker to stand up for themselves if possible.
Take the rude one aside, and use I statements about her talk of the show being in poor form in your opinion. Don't speak on behalf of the friend that lost someone, they can do that for themselves if they feel they need too.
I don't know if that even made sense.
Here is what i would do. Take rude coworker aside. Hey, I've heard a lot about that show and that it is pretty good. Thanks for the recommendation. However, so and so just lost someone to suicide and perhaps it's best to keep conversations about the show a little more private. If I had (or if I actually have) recently lost someone in that way it'd be painful to hear about at work where I want to focus on my job. I know that was not your intent. I just wanted to share how it made me feel. Thank you.
Unless the coworker that lost someone is close to me, I wouldn't ever mention that I had that chat to them. I did it as a a kindness not for recognition.