I think no matter your religion or who/what you believe in, there is nothing better than going to that figure in times of sorrow, grief and pain. Whenever I am troubled I tend to forget that I have a Heavenly Father who is begging to hear from me. I tend to lean on myself and fix my problems myself.
Most people believe in something and I doubt any of us would if we knew they would withhold comfort during a hard time. Faith gets us through, faith restores hope, faith mends a broken heart.