It depends on what happened to make me feel bad in the first place.
If it's something small, or I'm a bit mad, I play some songs on my bass, play Fallout 3 and kill a load of bad guys, maybe watch some movies and go hang with some friends. I distract myself until whatever happened is at the back of my mind, and it usually ends up in my being cheered up.
But if it's something bad, then I take the problem head on. Crying is a really good way to just let the emotions flow. If I feel really bad (which is rare), I cry myself to sleep and wake up feeling five times better.