If you are speaking of death, There are 5 stages of grieving. They can be experienced in any order, and take different time spans to go through for different people.
Denial-this is where one refuses to believe what has happened. Perhaps thinking this is all a bad dream.
Anger- Self explanatory. Anger that the person is gone, and anger over the inability to do anything about it.
Bargaining- Asking or wishing to be the one gone instead of the one that actually is, or perhaps saying you will do (certain things) if the person is brought back. Wishing you had done some things different.
Depression- Also self explanatory. This may be mild, or severe. Depression over your own loss.
Acceptance-This is usually the last stage. It still hurts, but you are able to accept what has happened and go on with life yourself.
It may take weeks, months, or even years to get to the acceptance stage. Sometimes we get "stuck" at a particular stage for quite some time. This is all normal. Grieving is normal. Let yourself grieve, and things will eventually get better.