As long as you don't wallow in the sadness, I don't see anything wrong with it. It's normal to have regrets, etc, but usually thinking of them brings back thoughts of the person too. I find it bittersweet, I guess -- sad that the person isn't in my life anymore, but glad that I knew them and appreciative of their contributions to my life, whether good or bad, because they helped make me who I am now.

But, that's just me, and it's probably stupid.