Within the framework of Buddhist practice there's potentially a lot you can do to "combat" sadness; many of the earlier posts contain good advice. The best specific means of dealing with sadness probably depends on the nature of the problem, since clinical depression due to an organic mood disorder or a history of abuse will be more difficult to tackle than run-of-the-mill melancholy.
Regardless of the cause, bearing impermanence of the condition in mind can be helpful in maintaining mindfulness and allowing the easier tolerance of any suffering. Through deep meditation (e.g. well-practiced and sustained vipassana, mahamudra, or zazen) your mind may be able to "neutralize" the psychological and/or psycho-somatic underpinning of the suffering to cause temporary relief (generally by way of "mental and physical pliancy") and ultimate relief is possible, though the latter generally involves repeated meditations leading to insights into the underlying causes and taking action to solve the problem.
A relatively advanced concept related to impermanence of phenomena is the emptiness (shunyata) of phenomena, which may be meditated on in a manner similar to impermanence. The concept is related to the Doctrine of the Aggregates and Dependent Origination, but unlike the impermanence (anicca) recognized by all Buddhists, it is primarily dealt with in the Mahayana traditions (Tibetan, Zen, Pure Land, Nichiren, etc).
The sage Shantideva dealt with issues of sadness (despondency and self-contempt) as part of Chapter 7, "The Perfection of Vigor," in his Bodhicaryavatara ("Undertaking the Way of the Bodhisattva")*.
Here are some verses dealing with the cultivation of the vigor required to conquer the ailments:
"One cannot get enough of the sensual pleasures in cyclic existence, that are like honey on a razor's edge. How can one get enough of the benign, ambrosial acts of merit, sweet in their result?
So, even at the conclusion of one task, one should plunge straight away into the next, as does a tusker, inflamed by the midday heat, immediately on coming to a pool.
But when one's energy begins to flag, one should put it aside to take up again, and, when it is completely finished, one should let it go with a thirst for the next and then the next." [i.e. delve into sustainable efforts to combat lethargy and despondency]
"When one is made passive by defeatism, without doubt difficulties easily take effect, but exerting one's self and invigorated, one is hard to defeat even for great calamities.
So, with a firm mind, I shall make difficulty for difficulty. For so long as difficulties conquer me, my desire to conquer the three worlds is laughable.
For I must conquer everything. Nothing should conquer me. This pride should be wedded to me, for I am a son of the lionlike Conquerer." [i.e. value of pride in effort and keeping one's ultimate goal in mind, with the Buddha as model]
"I shall be cut open, burned, and split open for innumerable billions of eons, and still there will be no Awakening.
But this limited suffering of mine, the means to perfect Buddhahood, is like the pain of extraction when getting rid of the agony of an embedded thorn.
All doctors use painful treatments to restore health. It follows that to put an end to many sufferings, a slight one must be endured.
Though such treatment is appropriate, it is not what the best doctor prescribed: he cures by sweet conduct those with the greatest illness.
The Guide enjoins only giving vegetables and the like at first. Later, by degrees, one acts in such a way that one is even able to give up one's own flesh!
When the understanding arises that one's own flesh is no more than a vegetable, what difficulty is there in giving away one's flesh and bones?" [importance of understanding the beginningless nature of one's own sufferings compared with the small ones you suffer in this life; Buddhist paths as medicine or treatment of nigh-eternal suffering; importance of insight into selflessness and the truly ego-less nature of one's being]
*Warning: the wording of this text is likely to sound unusually harsh or stern in parts if you're really sad or depressed, so its best to read when one is feeling good. Shantideva repeatedly hits the point that suffering is ultimately caused by one's own bad karma, which isn't a pleasant thought for the ailing. All other Buddhist texts I've read aren't like this.
I hope that helps. I'll share any other pertinent verses and works that I come across.
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