These aren't (all) things I do, but they are things I'd recommend
see a doctor about it.... maybe.
Run / Exercise
Write
Read / Consume media you enjoy
Spend time with (in person, on the phone, through text) people you love
Do something about whatever is making you sad
Meditate
Think happy thoughts
Do something mentally engaging as a distraction
Do religious things, if you're religious
Embrace the sadness, feel it through, and watch it pass
Talk about how you feel, even if there's nobody who'll listen
Talk about nothing, only if there's someone who'll listen
Ask for advice from people who actually know what they're talking about