Is is ok if I correct your sentence? It should be:

'Could you tell me what you do when you are bored and sad?'

@Emre, you asked if you could say:

"Could you tell me what do you do when you are bored and sad?"

And the answer is no. When you ask a question inside a question like this, the 'internal' question ('What do you do?) isn't in the interrogative form. 'Can you tell me what you do..?'

As for me, I'm rarely bored or sad. I keep busy and happy.

When I am bored I will try to schedule something with my friends. Unfortunately most of my friends are all unreliable when it comes to making plans. Most of the time things are spontaneous and without structure. Which is cool, but can suck when trying to make something long-term happen. If no one is able to meetup, then I'll play some games! Been big on gaming growing up...I don't think I could ever let go. ^^ Hmm...Other than that, I'm pretty active, so I'll resort to practicing Kendo, language studies, hiking, spending time with pets ( 6 cats and 2 dogs ), or planning world domination.

When I am sad I will just continue being sad. There's no real way for me to solve it. I'm actually quite sensitive, however, I wont have such a strong emotion of sadness unless something impacted me greatly. With one exception: When I see a commercial on tv ( I don't normally watch tv anyways) showing homeless or abused animals...I can't help but become both saddened and enraged. Anyways, music happens to be one of the few things that motivates me to push through each day. Music itself has no cultural boundaries, no single meaning, no limitations. :D

I either stay alone or read something.

When i feel sad i write down how i feel and what makes me sad and listen to music

When im bored xD i sleep lol