This is taking place in the famous balcony scene, Act II, Scene 2.  Romeo nd Juliet have been conversing all night long and they have made an agreement that Romeo will send word tomorrow about when and where they should be married.  She feels sorrow and sadness that they need to say goodbye, but on the other hand what is to come is sweet and beautiful when they shall be together again.

Poets have long been fascinated by the concept of dialectical emotions--that to be truly happy, one must first be deeply sad; to enjoy the delights of food, one must first experience hunger.  So it is with Juliet's situation. Saying goodbye to Romeo triggers deep sadness, but that sadness also reminds her of her love for hm, and for this reason it is sweet. Saying goodbye also initiates her anticipation of seeing him again, which gives htat emotion a pleasant tingle.  Remember, too, that for Shakespeare "sweet" meant not necessary "pleasing," but also "not offensive," which tempers the romantic meaning of the phrase just a bit.

Romeo and Juliet are desperate to be together, but at this point in the play (Act II, sceneii), they have not come up with a plan to spend their lives together as they would wish.  Juliet says this line as she is saying goodbye to Romeo.  The oxymoron "sweet sorrow" is created by the combination of Juliet being sad to leave Romeo, which is the 'sorrow' part, yet excited by the idea of seeing him again, which is the sweetness she refers to.