Overwhelming Sense of Loss
Chances are, if you remember another life, it isn't because things in your past were peachy. The trend seems to follow the idea that truly horrific, traumatizing events are the cause to one remembering. It's likely that you remember a life that was cut short by war, murder, or a natural disaster...and though you probably (and thankfully) don't recall the actual event that ended your life, you probably remember the people and the places in it. 
The people you remember, your wife, your kids, coworkers, friends, and others who were the staples of your daily life are dead. If they are still alive, they are incredibly old, don't know you're reincarnated, and you can't just write them a letter saying 'hi'. It's bad enough mourning the loss of one person, but thirty? Fifty? More? How exactly can you sufficiently bounce back when you constantly feel their absence no matter what you do? The old saying 'Keep them alive in your heart, and they'll never truly be gone', just makes me feel worse.
The bedroom you have glimpses of during a memory? Yeah, it probably doesn't exist anymore. At least not the way you remember it. Everything you had from personal belongings to relationships are no longer. All the hard work you put in was for nothing.

'The Grass is Always Greener' Syndrome
What is it about the past that makes us cast it in such a rosy glow? Do we perceive past times as better because they truly were? Or did we just forget the bad stuff? 
My TV-addicted father watched 'The Wonder Years' fervently back in the 90s, constantly laughing and informing my deaf ears how great those days were. Even I have found myself looking back at my childhood in the '80s with misty eyes. Do I really prefer big hair and a flabbier Madonna? Were people then more innocent than they are now? Was life really better? Or am I just seeing it that way because I can't go back?

I can't help but be reminded of the lyrics to 'Everybody is Free to Wear Sunscreen' when pondering this:
Accept certain inalienable truths:
Prices will rise, politicians will philander.
You too will get old, and when you do,
you’ll fantasize that when you were young, 
prices were reasonable, politicians were noble,
and children respected their elders.

In a reincarnation sense, the past feels simpler, the world smaller, and the people in it more honorable. You didn't have to worry about your kids being abducted from the front yard or being shot in school. You didn't stress over steroids and pesticides being pumped into your food and giving you health problems. You didn't worry about having 600 passwords and test questions because of someone stealing your identity. Technology has made life simpler, no doubt. But perhaps I am willing to give up the 'ease' of modern life for an earlier lifetime without the blare of cars, cell phones, and the superficiality of pop culture and reality TV. I yearn for those times because I see them as better, regardless if they were or not. 

Going it Alone
If you think about it, there are support groups and therapy for everything: Addiction to slots, sluts, sex, drinking and drug use. You can get in a group therapy session if you eat too much, not enough, if your parents ate too much or not enough, or if your kids eat too much or not enough. You can go to a therapist about being so obsessive you clean your house 8 hours each day. You also can go to a therapist if you haven't cleaned your house at all in 8 years.
Reincarnation, however, is still seen as a freaky, New Age belief system that is taboo in mainstream, Western society. Are there past life therapists around? Yes, but they are hard to find and I bet your insurance won't cover the cost! There is the option of opening up to your current therapist about a past life, but I don't think that is a feasible option for many due to fears they'll look like a schizo.
Within your own support system of family and friends, you may not exactly get what you need, either. Even if you had the balls to tell anyone about your past life, chances are they don't understand enough about reincarnation to be of any help or don't 'get' your time period. Dead Nazis, I ask you specifically: how simple is it explaining your past life to someone who wasn't there? The other person just doesn't understand, right? Immediately you're cast as a bandwagon-esque, murdering, goosestepping sycophant.

People who aren't past life-oriented at all don't seem to be too sympathetic while you're going through a rough patch. Being holed up in your dark bedroom for three days, subsisting only on cold Pop Tarts and watching documentaries in a depressed heap won't score you any points with your roommate or boyfriend, who is wondering how the hell you'll make rent since you've called in sick to work the whole time. Even if you're just mildly depressed, just going to the grocery store or dealing with traffic can be too much and naturally others just want you to snap out of it and get some 'real problems'. They don't want another discussion about Stalingrad or the unfairness of war crimes trials. They're sick of hearing it and want you to go mow the freaking lawn already. Suck it up, buttercup.

The other option is to reach out online to talk to others who have been there. Provided you can find a forum or mailing list that isn't full of lunatics, how much help can you honestly get? Forums are usually full of posts like 'My name is LunaChakraPsychicHealer and I had a life in Scotland'. LunaChakraPsychicHealer will have about five posts [none of which you can relate to], leave the forum, and will be soon replaced by another newbie just like her. Repeat this 300 times and you're ready to bail.
Finding true value, connections, and friendship online is difficult, and the shelf life of the friendships you make are unfortunately rather short. Eventually, these people will be on the forum less and less as their offline lives go in different directions. You may be up for a chat about the good old days, but if they have a crying baby, an impatient new husband, or a pile of work to deal with from the office, your friendship is going on the back burner. 

Research Takes Time and Results Are Iffy At Best
Memories are harder to unlock than a childproof cap while you have a raging migraine and can´t see straight. We all know this. It takes time, patience, commitment, and consistency on your part. Personally, I think starting a new exercise or health regimen is easier. Have you ever heard anyone ever say, 'Oh, meditation is so simple. I get at least five memories every time I do it!' 
Of course, you haven't. 
Even the old technique of putting a notepad and pen next to your bed is a pain in the neck. For me, I wake up from the dream, try to turn on my lamp, almost knock the lamp over in the attempt, wake up my partner with the noise, try to explain what I am doing and hope she goes back to sleep, scramble for my glasses, locate the notepad, drop the pen on the floor, it rolls under the bed...gah. My memory is long gone and now I am wide awake because I have gotten out of bed to find the freaking pen and now have to pee. The cat is meowing and the dog senses I'm up and wants to be fed. 
Sheesh. Why bother?
But let's say you luck out and get a memory. No one ever remembers the stuff that can easily be validated, even if you've had the most famous life ever. Chances are you remember something about a large room with four windows, and unless you locate a book that gives you the floor plans of every single room you've entered in that entire life, you're screwed.
If you're able to actually verify the memory, is that going to be substantial enough for you to establish who you were? Of course not! You want 25 or 30 validations and maybe, just maybe, then you'll be satisfied.

The Feeling of Powerlessness
You can't control when you're going to be triggered and feel like crap for an undetermined length of time. As for myself, I know that New Year's Eve, April, and September tend to send me off on a journey down Melancholia Road. But I've also gotten triggered while on a business trip or going to the park...and don't even get me going on how 'splendid' my German honeymoon was for all involved.
Another thing that can be frustrating is knowing that you can't change the past. Hindsight, as they say, is always 20/20 and I can't tell you what I wouldn't give to tell certain people that I'm sorry and that I think of them every day. No one can go back and change the things they did or heal the people they hurt. The only thing we can do is to is to learn from the mistakes we made and try to do a little better this go round.