Back when I was working for Antioch University Seattle in 2007, a job opened up that I wanted to have in an academic department I admired. I was rejected for the job and it stung. However I had the strange opportunity to observe what happened with the person who DID get the job I wanted: it was one of those positions where you spend a lot of time listening to others complaints and while being a scapegoat simultaneously, it wasn't a position I (or the person who was hired for it) could enjoy. I was very lucky the people who did the job selection understood both me and the job duties to realize I was a poor match!
Note however that rejection can be good for another reason: if you are getting rejected often, it means you are aiming high. In the case of employment, do you want a position that you only have a 50% chance of getting, or do you want the position you have a 90% chance of getting? Most likely the 50% chance job is the one you want, so it's worth getting rejected more often in order to end up with the better job in the long run.
Keep this in mind for romantic rejection as well. No matter how bad the disappointment, understand that when you are rejected this means that the person rejecting you has information that you do not have.
