...It's true. We're not. Although whatever crap you're going through may seem like the biggest ad worst thing that has ever happened, there are people that are probably going through exactly the same thing, going through worse or have gone through worse.
If breaking up with your other half seems like the end of the world or you've had your heart broken and are feeling the blow from it, think about the other people in this world...your close friends have probably been through the same thing. Not just that, there are worse things that have happened than a break up...people are constantly being abused all over the world so think about them and then compare your situation to theirs.
You have to wake up and realise that you really aren't alone and that people are there to help you...don't take your pain out on others OR yourself. I can say that i've taken my pain out on myself and it really doesn't make things better. If you're depressed, talk to your friends - they are there for a reason and would do anything to make you happy and stop your pain or at least ease you out of it.
Think of the people that are worse off than yourself or think of the millions of people that are going through the exact same thing. They're probably thinking the same as you...they will be thinking that their situation is only happening to them but it really isn't true. Think of this and the possibilities to come that will be so much better and you'll be a better and happier person from it.
I'm not having a go and telling you to get over yourself but it's just a way to help you through the situation and make you happier, even if only slightly.