I don't think it's sad to go on holiday on your own. Well, it depends what you're doing I suppose. People might judge you for going to somewhere like Ibiza on your own. I'd recommend doing a city break in a few European countries which loads of people do on their own.
I suppose you can be more flexible If it's just you with the dates you want to go, the things you want to do there, where to go to eat and ultimately you can go everywhere that you want to go.
If you want a sun holiday on your own I'd probably not go all inclusive as you'll probably spend more time out of the hotel and it (probably) will not be worth paying for as you may be drinking a lot less than if you were with a group of people. So I'd say self-catered in somewhere like Tenerife, Spain or Turkey. But if you have money I'd go somewhere way more exotic like Costa Rica or Thailand!