There's no way to escape the emotions. You thought you had the job. You didn't. So, how do you feel? Do you blame yourself? Do you begin to second guess your qualifications or interview performance? Do you get angry at the recruiter or the company? Do you blame them for leading you on? According to the "Evil HR Lady," you don't have to feel either way.
Suzanne Lucas outlines a myriad of very good reasons why a job could slip through your fingers. Most often, there was nothing that you could have done differently. Read her article Why You Weren't Hired (Even Though You're Fabulous) on BNET.