Look, we all feel a little lonely sometimes, right? If people didn't feel lonely, the world would be left without some of the greatest books, movies, and plays ever written. However, there are times when loneliness gets away from people, and they start to feel like they're the only person on the planet. Jude suffers from this affliction at times in the novel, and so does Sue. It's even fair to say that Phillotson feels a bit isolated from time to time. Dealing with the sense of isolation actually drives a good amount of the action in the book.
Time to play pop psychologist: Jude's lack of strong family ties contributes to his overall sense of social isolation in the novel.
While Jude and Sue suffer horribly for their romantic attachment, the novel still presents their relationship as a worthwhile risk.