Being in a closet gives one perspectives that are quite out of reach of the usual straight guy or the genuinely open gay people. I do agree that it is depressing quite a lot of times. But, the closet guys get to know a few things that most people will never feel.
Let's say I see a typical hottie on the streen, gym toned body, chic hairstyle perfectly balanced on a chiseled face and smell of the freshest thing on earth (got ya thinking right, peaches are not the only fresh thing in this world honey :P). If I'm not in the closet I would ideally ask him out or give some sorta signs and let's face it, most sexy guys on the planet are straight, so pat comes a rude reply or something even nastier. But, when I'm this closet guy I can admire him as much as I want and yet have hopes of bumping into him in the next gay party!
The closet gives me a perfect way to make the sexiest guys around me comfortable with me even in the swimming pool or the gym! All you have to do is laugh at their dumb homophobic jokes at times and you will sail through without much trouble.