Not to get too philosophical or anything, but...
Sadness/feeling down is a state of mind. I don't believe in things and events being sad, sadness and depression is our reaction to those events.
For me this was important to realise because it meant that my mood depends on my perspective. How I choose to see things is what determines how I feel, so in a way, you can be in full control of your mood. The same applies to anger/stress/disgust etc. So what I do is simply accept that whatever has happened, happened. Regret is useless because I can't go back in time, and "what if" scenarios never help you feel good or accomplish anything because it's simply impossible to do so. All I can focus on is moving forward and making the present moment, and future, better for myself.
I know it's easier said than done, but honestly this frame of mind has made me a lot happier with life. It's hard to get me down and when I do get down, I learn to pick myself up again quickly because life is too short for negativity which never results in anything good.
Some people say distractions like music and movies help, but in reality it's just avoiding an emotion you're going to feel once those distractions are over. It's better to deal with it head on and make the best of what's going on. That's what I'm trying to do and it works wonders for me :)