What type of figurative language is used in "loving you was nice," "sad inside," "picked up your pieces" and "we are just alive?"

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Some of these phrases are difficult to recognize in that they are taken out of context.

"Loving you was nice" may be an example of understatement or meiosis. Meiosis, or understatement is...

...the opposite of exaggeration: "I was somewhat worried when the psychopath ran toward me with a chainsaw." (I.e., I was terrified). 

This is used for effect.

"Sad inside" appears to be an example of personification, which is...

...a figure of speech in which abstractions, animals, ideas, and inanimate objects are endowed with human form, character, traits, or sensibilities.

In other words, personification is when human characteristics are used to describe non-human things. In "The wind shrieked around me," a shriek is a human sound; the comparison is made between the sounds a person makes, which may be similar to the sound of the wind, but the wind cannot shriek, whisper, scream or murmur. 

Specifically addressing your example, your insides cannot be sad.

"Picked up your pieces" is a metaphor, defined as:

It is an implied analogy or unstated comparison which imaginatively identifies one thing with another.

A metaphor is a literary device when two dissimilar things are compared as if they were the same thing, but that actually only have some similarities in common. "You" is being compared, indirectly, to something that can be broken into pieces. While a person's bones might be broken, one does not fall to pieces like Humpty Dumpty. It most probably means that someone was there to help when "you fell apart," another metaphor commonly used.

The metaphor is the most commonly used figure of speech.

"We are just alive" may well be a paradox, an idea that when first presented seems impossible and untrue. A paradox is...

...a statement that is apparently self-contradictory or absurd but really contains a possible truth.

In the context of a paradox, one's immediate reaction to the statement might be that there is no such thing as being "just" alive. It could be argued that by having life, no matter what the circumstances surrounding it, one is fully alive and there are no degrees of life. The only alternate state, according to this line of thinking, would be the absence of life: death. If it is a paradox, however impossible or absurd the statement may seem, figuratively speaking the speaker may feel so unhappy that he or she is only surviving and believes he or she is not truly alive. This could be the truth the paradox contains that is not apparent at first.

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