It's tough. I know it is. You have a player which played for your franchise through their formative years (regardless of if they were drafted by your organization or not), a player who has grown with the team, and you place expectations on him. You expect him to live up to his talent level, and he does, and you're happy. You expect him to enjoy playing for your team, and he does. You expect him to be a great captain, and to live and breathe your team, and he does. You're proud.
Then you expect the franchise to build something solid around the player, who happens to be one of the best in the league — and the greatest that your franchise has ever seen. That isn't an unrealistic expectation. It's good business sense to try to win championships and to make sure that you have a solid team who is capable of winning the Stanley Cup. Year after year, however, you're disappointed. You watch your general manager, who may or may not be one of the worst in the NHL, add character pieces and spare parts. You watch prospects languish. You watch your team slip from the playoff bubble to well below the surface. And you wait.
You wait for a new GM. You wait for someone to make a good decision. You wait for that center, that linemate, to help your star reach his complete potential and carry your team to a championship. It never happens. You're rewarded by your GM trading the face of your franchise off for a couple of prospects and a first round pick that'll probably be a) at the end of the round and b) ruined by your general manager's terrible drafting.
All of this is tough, I know — I've been through it as a Thrashers fan. Don't worry, though – it gets better. I know that you're thinking that's an inane statement coming from someone whose team relocated a year after trading their top player, but I'm talking about for the fans in the long term, not necessarily the team.
You might try to use some coping mechanisms to deal with the loss of Iggy, like rationalizing how the team's better off without a star hogging the spotlight, or distorting what his play was like to make it easier for you to deal with him being gone (e.g. "he was a puck hog," "he never got clutch goals," "he didn't play like he cared," stuff like that). It makes you feel better for a while about losing him, but it won't help with the frustration you feel at your team's management, and that's the good thing. You want that frustration. You want the fans and media to be as loud as possible with that. You really want everyone in North America know how awful this trade is. Not because you want people to point and laugh at Jay Feaster, because God knows they do that enough. No, you want people to know and be outraged, and call for Feaster's head on a plate.
Keep your fingers crossed. This could very well be the straw that broke the camel's back. Maybe losing Iginla will be the catalyst for change that your franchise, and you, deserve. It sucks in the short-term, but in the long run? You'll wish Iginla well, and he'll do the same for your franchise, and then maybe the real rebuild and success will follow. Chances are good that it will.