If it’s of any comfort to you, I usually feel the same way. While I definitely think there are ways to improve our response to another person’s grief, I get the feeling we probably won’t ever feel adequate to single-handedly deal with grief in others, and we probably shouldn’t.
Rarely can we know completely how the other person is feeling. In person, our familiarity with a person and their body language can give us clues as to how to comfort them, but we''ll probably never feel completely adequate until that person's stages of grief allow them to heal themselves.
Of course, grief is probably much better dealt with as a community, with a lot of support and time given to the grieving person, and a bit of encouragement to bring them back to health.
The most effective ways to do this depend on an infinite number of factors… I have some ideas and I’ve read some books about grieving, but I haven’t given it much practical thought or practice.
A quick web search yielded this example of a grieving ritual: http://www.webhealing.com/3col895.html
and there’s the thread on this site: http://www.rewild.info/conversations/index.php?topic=766.0
As far as one on one, “being there” for someone goes, I guess it’s best to let them know that you’re sorry, and that you’re there to listen to them if they need a talk, hug, or distraction. In our detached society, this interaction will probably always feel a little awkward and unsatisfactory, but I’m sure it’s still helpful nonetheless.