It's one of the most maddening parts about the job search--things get exciting, you are getting interviews, you are meeting people, you can taste the next job. And then, sometimes, things just fizzle, one after another, until you are without immediate prospects again.
The good part of this story is that it's good not to become so cynical that prospects don't excite you. An interviewer can spot a "down in the dumps" attitude a mile off, whether by phone or in person. Imagining what it would be like to be doing the job you are interviewing for is an asset--it gets you thinking strategically, putting yourself in the role and developing a plan for how you would move forward.
The not so fun part is when (or if) things don't work out. It's hard not to take it personally, to wonder what is wrong with you, your resume, your experience, the list goes on.
My personal opinion is that it is not only OK but likely necessary to take a moment, feel the hurt or disappointment, before sallying on. The key is to learn from each experience, ask, if you can, about what you could have done better, and then move on to the next opportunity. Job searching isn't any different than life in general--things can be disappointing, but the fact is that it still is a tight economy, there are a lot of job hunters out there, and that your (and MY) WILL come.
Just pick yourself up, dust yourself off, and know that your time is coming!