There's not much that's worse than a breakup—even if you're the dumper. But although you feel depressed, sad and alone, you're allowed to wallow and grieve. Take some time to miss that person, cry over it watch a sad movie while downing your favorite junk food if you need to.
If none of the above sounds like the right way to go, consider that this could be a time of self-reflection. suecide is never an option.