I have heard the following story, where the "sage" in question was the Lubavitcher Rebbe, and am trying to track down a more authoritative source. So far the only written reference I have been able to find is on Rabbi Sacks's website, who doesn't provide identification:
Many years ago I heard a wonderful story about a great Jewish sage. Someone had written him a letter on the following lines. “I am in a state of deep depression. I wake up each morning dreading the day ahead. I find that nothing lifts the clouds of gloom. I try various distractions but nothing seems to work. I pray, but inspiration does not come. I need the rabbi’s help and advice.”
The rabbi sent him a brilliant reply without using a single word. He simply circled the first word of each sentence of the letter and sent it back. The word was “I.”
Is there a source for this story? If it was a letter from the Lubavticher Rebbe, is there a copy of the letter in question?