The trick, I suspect, is allowing sadness to permeate your being without turning into some mascara'd, puerile death rocker, sleeves duly embellished with wails, laments, dirges, and boo-hoos.  Swift, Schumann, and late-period Scott Fitzgerald were able to pull this off. Sadly, I am neither a genius, nor a drunk.
Still, having given the matter some thought, I think the trick is to simply be unhappy without throwing moon-eyed glances in the direction of joy, fulfillment, or inner peace.  By settling into misery, one eventiually learns to get by on black humor, self-deprecation, and a sense of perspective.  This point of view is consolation for losers, perhaps, but in the end we are all losers: the final curtain plunges down, whammo! And the unhappy are no worse off than any.  Besides, it's the little things that keep us going: cheeseburgers, blowjobs*, sunsets.  Samuel Beckett wrote a play to this effect once.  It had something to do with a birdcage.
Which reminds me, no "fucking" option in the poll this time: that's always the runaway winner