The advice to write songs, as given by a couple of people above, is what works best for me. It doesn't matter if they're any good or not. Pain is an excellent motivator, and creating something is good therapy. After all, that's where all those blues and cry-in-your-beer honkey tonk songs come from. Best thing about it is, this form of 'therapy' doesn't cost anything either.

Althought it might be hard to find sometimes, there's always a positive aspect to sad situations. They are opportunities for us to turn them into something useful/productive. And too, it could've been worse. You coulda got married, invested years in a commitment only to have all this crap rain down on you. Better now than later.