Depends on the situation;
• If its a natural disaster - or some other tragedy on the news (where people loose lives), and I know I can't do much, I will just light a candle and have a couple minutes of silence for the deceased. Get my mind of the saddened event I will watch Pokemon anime, play the games, or take a nap, or take a relaxing hot shower.
• If I feel sad because of missing a concert or sporting event (for example tickets sell out before I can buy some) - I'll just save the cash for next event, not much to do, so I just watch Pokemon anime, play the games, or take a quick nap or take a relaxing hot shower.
• Something similar: saddened if the team I'm cheering for looses the game or tournament, I'll just try and think in my head "there is always next time - no reason to get upset - [team name] will have better luck next time/season/year - I will never stop cheering for you", this kind of loss hurts for a while, but I got to remember its just a game, not to get personal... again to distract my mind I'll watch comedy movies or Pokemon anime.
• If its something more emotional for me (say a family member gets angry at me, or yells at me, even if it wasn't my fault - such as a drunk family member) - I will try not to take it personally, I will just lock the door, and listen to music, or watch Pokemon anime (it's the main thing that takes the sadness away for me), play games (not Pokemon, but board games or card games on my PC), watch a comedy movie.... something to cheer me up, or I will take a shower.