When I had really bad depression in high school, I would just sleep. Sleeping would help me clean out my head. Even now, sleeping fixes a lot of my problems. Sometimes I would also keep myself busy with graphical projects for a few hours or watch something funny/romantic to lighten my mood.
If the silence became too unbearable, I would listen to music or plug any kind of sound into my ears to relax and help me concentrate. I had a very hard time concentrating. There's something about music that makes people feel calm.
Also having someone you can talk to really helps out a ton. You can't keep whatever is bothering you all bottled up inside, it's not healthy.
For me, it was usually one major thing that made me sad. The key for me was to shift my attention onto something else so I wouldn't keep thinking about it.
I'm not sure if it's just one thing for you or just anything that makes you sad, but I hope it helps. It's different for everybody.