Sometimes there is a fine line between indulging self-pity, negative tape loops and their associated feelings and authentic suffering, necessary sorrow. Chogyam Trungpa believed that the ideal state for the warrior is broken-heartedness. Sometimes sorrow is what we need to feel, or what someone else is feeling, and we or they need to feel the sorrow as deeply as possible. I've always preferred anguish and deep sorrow to depression. It is much better to face the sorrow, feel it as deeply as possible and move on, rather than trying to mitigate or medicate it, which only encourages it to turn into lingering depression.
For more on Chogyam Trungpa's warrior model of broken heartedness and authentic suffering and my own view of the subject see: The Way of the Warrior also Chapter Two of The Capsule of Intentionality If, on the other hand, you feel you are experiencing neurotic suffering and want to break the negative tape loops in you head, see A Guide to the Perplexed Interdimensional Traveler See the last part of the guide if you have just suffered a devastating shock. If it's time to get past the sorrow see: Awakening from Depression