I am sad. =
I feel sad.
I feel blue.
I am down in the dumps.
I am depressed.
* Popular song: "I'm down" by the Beatles:
http://www.youtube.com/watch?v=dHIlvGAP1lQ
There are so many ways to say this.
Check the free dictionary online
http://www.thefreedictionary.com/sad
sad
adjective
1. unhappy, down, low, blue, depressed, gloomy, grieved, dismal, melancholy, sombre, glum, wistful, mournful, dejected, downcast, grief-stricken, tearful, lugubrious, pensive, disconsolate, doleful, heavy-hearted, down in the dumps (informal), cheerless, lachrymose, woebegone, down in the mouth (informal), low-spirited, triste (archaic), sick at heart