I get out and about. (Stroll through the mall, eat at the food court, people watch, go to the beach or take a walk while listening to music on my iPod, take in a matinee movie, call and chat with friends and family, go to the gym, read a good book, or relax in a Barnes & Noble scanning through books, magazines, listening to music on CDs.
One could also check out a social site such as Meetup.com which contains tons of groups of people that have a shared interest and hobby who get together for meetings and social activities. There are groups for wine tasting, theater goers, writers, dancers, yoga, meditation, hiking, book clubs, singles mixers, moms clubs, and countless other networking groups.
Having said that there is big difference between (being) alone and (feeling) alone. It's possible to be in a room with your spouse or a group of people and still (feel) alone. Essentially this feeling comes from (not relating) or believing the people around you actually "get you". There is no real connection between you and them. Generally speaking this is a situation where a person has chosen to withdraw into their shell and focus on their shortcomings in life. If they're not careful they will start to erode their self-esteem and believe they're not worthy to associate with others. They become cynical and eventually depressed. Some even consider suicide.
The only cure I know of for depression is taking action. You have to stop being self-centered and take an interest in other people's lives without comparing them to your life. Read and listen to positive inspirational materials. Focus on what is good in your life and always have something on your calendar to "look forward to"!