We all suffer in this world, to one degree or another, but yoga offers ways to mitigate it. The first step is to become aware of the causes of suffering, which according to Patanjali's Yoga Sutra, are the five kleshas (CLAY-shas), a word meaning "pain, affliction, distress."
The root of these troublemakers is avidya, or self-ignorance. In Patanjali's view we're ignorant of our authentic Self; we're unable to tap into the eternal, unchanging witness to life's joys and sorrows.
Instead, we latch on to, and identify with, our ego (asmita), which limits our consciousness and separates us from the world. That separation brings us into conflict with the world, which in turn leads us to raga, the attachment to pleasure, causing us to grasp selfishly at what we want and jealously guard what we have, and to dvesha, the aversion to pain, causing us to reject what we don't want or what we fear. All of these kleshas intensify our isolation and sense of incompleteness.
Letting go of abhinivesha, which means "clinging to life," is difficult for many. Most of us seek to prolong existence any way we can. But in India, where most believe in reincarnation, clinging to life, just like clinging to anything else, is a source of pain. To transform your suffering, it's important to be aware of the enormous influence of the kleshas.
Try this exercise to dissipate the kleshas. Sit (or recline) comfortably with your eyes closed. Breathe easily and allow your brain to relax. Then ask yourself "Who am I?" Repeat this mantra every few seconds, without expecting or anticipating an answer. Just ask and be patient; consider every answer, then let it go and ask again: "Who am I?" Asking this question offers alternative answers to what seems obvious—that you're a specific person, limited in time and space. The question is an acknowledgment of avidya, and it prevents us from unconsciously jumping to habitual conclusions about our Self.