Getting sad for "no reason" is a less common occurrence. It may be that there really is a reason that's just buried deep inside. It may be a reaction to events and experiences that happened long ago, or it may be because of a loss of hope in the future. These types of issues usually need to be discussed openly and honestly in order to help get beyond these unpleasant feelings.
If you seem to get sad very often, and if there doesn't seem to be any particular stimulus for it, then I'd be concerned that you may have a more serious depression. If you don't have experiences that make you happy, that's also worrisome. If you've been so depressed that you have thought about hurting yourself, then that isn't normal and you need to seek help at once.
Talk with your parents or another adult that you trust about the periods of sadness you've been having. You should also see your physician and discuss this issue with him. He can help to sort things out if your sadness needs further evaluation.