It's nice to wallow every once in a while. I don't do it often, but when I do, I like to do it right. Put on some nice melancholy music, grab your drink of choice, and pick a spot where you can sit and stare off at nothing in particular.
REM: Everybody Hurts
This is a really nice video that augments the feeling of the music.
Nick Drake: Pink Moon
This song carries sadness because of the artist's tragic story.
Ben Folds Five: Brick
Nice and depressing here. See the video here (can't be embedded.)