The gist: Most of us have certain ideas about when or how we'll enjoy life more ("After I get that job!" or "If I get married!") which actually keep us unhappy, says Sonja Lyubomirsky in The Myths of Happiness. Not all of these misconceptions are about the future, either. Thinking that if we had behaved differently in the past, we'd be more content now is equally damaging.
One weird thing to do that may actually work: Create a "new possible self." The first step: Look back on the thing or things you so badly wanted but you didn't get (e.g., "I wanted to ice skate in the Olympics!" or "I wanted to have a child.") Next, examine the specific reasons why that dream didn't come to life: Which people and events influenced you; what big and small choices did you make? Once that painful task is done—a task that most people avoid—you'll be better equipped to imagine a "new possible self." That is, you can start working towards who you want to be now, instead of comparing yourself or trying to catch up to the person you wanted to be then.