One thing I have done is look up fan sites or articles that have a lot of comments from other fans. It helps me to know that I am not alone in feeling the loss. There might be Facebook pages or other such places for fans of the show. Then I have to take a break from watching the program because it just makes me feel bad. After time has passed, I can revisit the show if I feel like I won't just feel badly by watching it, knowing that it is over. Usually this means that I have to just throw myself into watching other shows that I like to try to keep me encouraged in some way.