Sometimes with someone we don't know, the best we can do is sympathy. But for those you want a good, deep relationship, try some empathy. Get down in the hole with the person.
Learn to accept empathy and sympathy as well. Someone expresses sorrow by saying, "I'm sorry." The other person responds by saying, "It's not your fault." Not a great response. Instead say, "Thank you." In this case, saying, "I'm sorry," is expressing that they feel sad for/with you, not that they are taking the blame for it. Don't push their sympathy aside, just accept it graciously. As with a compliment, a simple, "Thank you," is usually the best response.
"It's not so much about sympathizing with people and making them feel better with things or with stories to please their ego. It's about getting to the core of things with people. Connecting with them, feeling what they are feeling, relating to them and bringing no judgement into the situation at all. Next time you are the ear that listens, provide words that don't fulfill an ego/mind story and see how much of a difference it makes for the other person." quote