I personally either workout or listen to music. What about all of you?
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Depends on the type of sadness. If it's soul-crushing anguish, I cry. If it's anger-laden sorrow, I exercise. If it's a deep-seated somberness, I write. For instance, I wrote a poem a few minutes ago about something that's bothering me at the moment. It's not really anything I can "fix" or "change", so creating something out of it was my best alternative.