When I'm sad, I stop being sad and be awesome instead.
But to be honest, I don't have much to contribute. I don't have depression, and I'm not really even sad often, even though my life's been (and kind of currently is) shit. I'm pretty optimistical about everything (or I just consciously try really, really hard to not care about the things that could make me sad or depressed).
And also, that's what escapism is for: to escape from that. I usually just distract myself with something I can immerse myself in, and that helps. And, to be honest, if I didn't have a computer and internet, ready for usage 24/7, then I'd probably have turned off to be a lot worse than I am right now.
I may say I'm a generally cheery person who tries to overlook the bullshit in my life, but seriously, if I didn't have the 'net, I'd have to face that bullshit all the time, and that'd be grounds enough for turning into a murderous, ravenous killer. Possibly with an axe, if I could get my hands on one.