Recently I have done a couple of things: work out, listen to music, and my favorite as of late is watching motivational videos. They really help me rethink what I am doing with myself.
music, if I'm sad it probably means I don't really want to get out and do any physical activity, but sometimes if I just get out and do something, even like getting groceries, lets me clear my head a bit.
eat chocolate, drink alcohol, smoke some weed, watch cute movies and occasionally hurt the person who made me that way either emotionally or physically.
Drink to excess while slowly loading a revolver...
Actually I have a terrible tendency to wallow in self-pity when I'm down. Lately I've been going for runs and that seems to work well. Focuses your energy on something other than feeling down.