Misery poker is the game of one-upsmanship where each person tries to convince the other that his plight is worse. "You think that's bad? Well I. . . ."
What's the goal? Commiserating with someone cooperatively rather than competitively is a way to cope with unpleasant situations, and tales of woe can make great stories, so I'm not saying you shouldn't talk about bad things that have happened. But check yourself when you find yourself in a pissing match of who has had it worse. Winning this game doesn't actually get you anything.
Often someone tells you about the rough things he's dealing with because he wants or needs sympathy. Retaliating with how you had it worse can convey the message "that's not so bad" which is, generally, not what he needs.