Start by being objective. What is really important in life? Health, food, shelter, and that's it. Eveything else is secondary.
It's always greener on the other side... Remember the amount of employed people who bitch about their jobs every day. Employment sucks! You most often get annoying co-workers and stupid bosses.You may not be doing anything, feeling useless, and having little money. But you have FREE TIME. Think about this every morning and remember all those white collar workers who complain about their jobs at the coffee machine.
You need to work on your state of mind first. Unemployment is a unique possibility to build emotional resilience and independence. What doesn't kill you makes you stronger.
My advice: have healthy eating habits, do sports, make plans, build competencies (learn a software, etc.), join social groups, think outside of the box and do apparently stupid things to get noticed (they're fun!). Last and best advice: start your own business.
Remember, it's all about perceptions - that's human nature for you. If you had a job, you'd be complaining about your stupid boss!