Okay, you should have seen this one coming. The poem is called "To Melancholy," so you better believe that melancholy, or sadness, is going to be an important theme. The weird thing is, though, that the speaker of this poem actually seems to enjoy her melancholy. She finds it soothing and refreshing. What's up with that?
A-ha! By addressing her "melancholy" directly through apostrophe and personification, the speaker is better able to understand it.
By addressing her "melancholy" directly, the speaker makes her melancholy into a kind of companion, which further emphasizes her loneliness and isolation. Her only friend is her melancholy! And that is just super-duper-sad.