In 1984, Winston said tragedy does not exist in his world. How is tragedy important in our lives?

Tragedy is important in our lives because it indicates
that we are human.  If we were not human and we did not have any human feelings, we
would experience no tragedies.  In 1984 the Party has created a
society in which there is no tragedy by taking away the basic humanity of the people. 
This is one of the major themes of the book.

We can see
these things in two quotes from Chapter 3.  When Winston thinks about the idea that
tragedy no longer exists in his society, he thinks that
tragedy

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belonged to the ancient time, to a time when
there was still privacy, love, and friendship, and when the members of a family stood by
one another without needing to know the
reason.

This illustrates how
tragedy comes out of the things that make us human.  It comes out of our ability to love
one another and to care about one another.  When we love and care, we open ourselves up
to tragedy.

A few lines later, Winston reflects on what the
current society is like and why there is no tragedy in that society.  In contrast to the
old days when people loved each other,

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Today there were fear, hatred, and pain, but no
dignity of emotion, no deep or complex
sorrows.

With no dignified
emotions like love, there are no longer any deep sorrows; no
tragedy.

The Party has taken away all the human emotions of
the people and, in doing so, they have made tragedy impossible.  They have done so in an
attempt to make the people depend completely on the Party and the State, not on one
another.  This is a major theme of the book.