Indeed why do we feel sad? Sadness is often seen as a negative emotion as it is difficult and painful to experience. That said, we might see things differently when we consider the ways in which this emotion relates is to the world; we are sad about something: the loss of a loved one, of an opportunity, sad faced with disappointment. One is sad when she loses something important; something which matters. In a way our sadness can help us recognise this, it can inform us about how important something or someone was to us. This emotion plays in the many rich ways in which we engage with the world.
I discovered the work of Iris Murdoch through the literature in Care Ethics. It right away captured my attention because her contribution to moral philosophy is original and powerful. Especially her idea that what happens in the moment of choice (when deciding what to do) is seldom the most crucial part of our moral life. Rather, as she suggests, it is what happens between these moments -- and which shapes our outlook on the world, that is important.