When I have the blues I remind myself that it's temporary and I try to do something to distract myself. It's hard to be outside for many during the winter season, or alone inside for that matter, so trying to get in touch with somebody is helpful whether through a phone call, online, or, if you enjoy to read, through some wonderful book's character. Some people are fond of journal writing. Most sad episodes will pass of their own accord.
Persistent feelings of despair, thoughts of harming oneself, major sleep disruption (sleeping all the time or not at all), inability to do normal activities such as caring for oneself, these over a period of time (over two weeks) suggest seeking professional evaluation.