The cold version of what happens during grief (5 stages):

Shock/denial hits first, and usually isn't that long lived.
Anger
Bargaining, even in irrational way - like a kid thinking that if he/she is good, mommy will come back
Sadness - longest part
Acceptance

The first 4 stages shouldn't last beyond 6 weeks in a normal bereavement situation. Some others might be able to better help you with the actual feelings, like a pit in your chest.