I hate writing them, I hate receiving them. Rejections are the bane of a writer's existence, but they can provide helpful clues to why your manuscript was rejected. Of course, if the rejection is a form letter, it just means no. Don't try to read anything into it, because there's nothing there. It's just a quick way for an editor or agent to reject the story. If there are personal notes added to the form, definitely pay attention to them.
One thing to keep in mind personal rejections: it's all subjective. Now, if you're getting rejected because your grammar is atrocious, take it to heart and learn to use proper grammar. If it's something about your plot or your characters, give it serious consideration. If two, three, or more people point out the same thing and say "Fix this" take their advice and work on it.
Dealing with rejections can be hard, but it's something we all learn to live with. When you get the rejection, it's okay cry, get angry, etc. Just don't send a nasty note to the person who sent the rejection. You'll regret it later. Remember, the editor or agent isn't rejecting you. He/she is rejecting your writing, and it could be for something as simple as they just accepted a similar project. A rejection doesn't necessarily mean your story is bad. It could be the whole "It's not you, it's me" thing.
Let the rejection sit for a while, then come back and try to look at it with an objective eye. Of course, there's no point in looking at a form rejection again. Just accept it and move on. Personal rejections, however, merit a second (third, fourth) look. They may help you improve your story to the point the next submission is accepted. At the very least, they'll give you an idea of why it was rejected and maybe offer you the encouragement to revise again.
The most important thing about receiving a rejection is to not give up. Keep writing, keep polishing your writing to make it as perfect as possible, and keep submitting. Every rejection and subsequent revision brings you closer to acceptance.
Don't let those rejections get you down. I have a pile of them, too, but that's not going to stop me. Happy writing!