As a general rule, if you find yourself suffering from existential angst, check and see if you're not just feeling unhappy because of something else going on in your life. An awful lot of existential angst comes from people trying to solve the wrong problem.
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This post is part of the Rerunning the Sequences series, where we'll be going through Eliezer Yudkowsky's old posts in order so that people who are interested can (re-)read and discuss them. The previous post was Could Anything Be Right?, and you can use the sequence_reruns tag or rss feed to follow the rest of the series.
Sequence reruns are a community-driven effort. You can participate by re-reading the sequence post, discussing it here, posting the next day's sequence reruns post, or summarizing forthcoming articles on the wiki. Go here for more details, or to have meta discussions about the Rerunning the Sequences series.