I have a job but have been looking another. A while back, I went for an interview, and I got rejected. That's got to be the most insulting, infuriating, embarrassing, down-trodden feeling to ever blanket a person.
Ever gotten rejected by a girl? Yeah, it sucks. It sucks for a while, but you get over it.
Getting rejected for a job really seems like the end of the line, and the hurt takes longer to go away. With a girl, there's always the "plenty of fish in the sea" spin. There just isn't that safety net with jobs. Every time you don't get hired, you feel like that's your last opportunity burned -- and looking at unemployment numbers, it's not too far from the truth.
Every time you try to make yourself feel better, all you have to do is take a few looks at "help wanted" areas online or in-person to get right back depressed.