But we do not want you to be uninformed, brothers, about those who are asleep, that you may not grieve as others do who have no hope. For since we believe that Jesus died and rose again, even so, through Jesus, God will bring with him those who have fallen asleep.
(1 Thessalonians 4:13-14 ESV)
Now when Mary came to where Jesus was and saw him, she fell at his feet, saying to him, “Lord, if you had been here, my brother would not have died.” When Jesus saw her weeping, and the Jews who had come with her also weeping, he was deeply moved in his spirit and greatly troubled. And he said, “Where have you laid him?” They said to him, “Lord, come and see.”Everybody who was ever a kid in Sunday School who could earn a reward by memorizing Scripture verses knows that "Jesus wept." I wonder how many of those kids ever learn what it is that He was weeping about?
(John 11:32-35 ESV)
To give a little bit of background, Jesus had just arrived at the grave of his friend Lazarus. But Jesus wasn't crying for Lazarus. Lazarus was dead. He wasn't suffering. Besides, Jesus knew that He was about to bring Lazarus back to life! Jesus didn't weep because Lazarus had died; He wept because "he was deeply moved in his spirit and greatly troubled" because "Jesus saw her weeping." Jesus was weeping not for the death of the departed, but for the grief of the surviving. But Mary was weeping about her brother's death, and Jesus did not stop her. He let her grieve her loss, even though He knew He was about to give her brother back to her alive.
The Scripture I quoted above says that we as Believers in the resurrection of Jesus do not "...grieve as others do who have no hope," but it does not say that we "do not grieve." We do grieve. We grieve I think on two levels: on a conscious level, we grieve because we miss the loved one who has died, but on a spiritual level, we grieve because we know that death is an enemy. Dying is not something that was supposed to happen; it's not God's plan for the human race. And Jesus defeated Death when He rose from the grave (1 Corinthians 15:20-26). I think we have a visceral understanding that something isn't right about dying. I think that grieving over dead Believers is part of the groaning that Christians experience during life on this world (2 Corinthians 5:1-5).
Even doctors and psychologists will tell you that human beings need to go through a grieving process after the loss of a loved one. The Word of God does not disagree with this. If you've lost a loved one, do not grieve as those who have no hope... but do grieve. Even Jesus wept. It's OK for you to weep, too.