1) Hire an attorney. If you went to the hearing unrepresented you didn't make a good choice. But you can remedy that now. Have an attorney review your Unfavorable Decision and see if there is any way of appealing the decision. You have 60 days from the date the decision was issued to appeal to the Appeals Council. An attorney should be able to tell you for free if there is a chance of winning your case on appeal.
2) Appeal to the Appeals Council. You can write to the Appeals Council and demonstrate to them that the Judge made a mistake. If they agree with you, there is a small chance that they will remand the case, which means they will send it back to the same Judge for another hearing. There is a 1% chance that they will overturn the Judge and grant your benefits, so don't believe that by appealing they will grant your case. If you have additional medical evidence, you can submit that information with your appeal to the Appeals Council. There is a 60 day deadline to appeal, so don't miss your deadline or your appeal will not be accepted.
3) You can file again. Yes, if you file again you are giving up on ever recovering your past benefits under your old application, but you already lost those benefits when you lost your hearing. So, sometimes it is better to not appeal and file again. Why? Because if you file again you can build a new record by submitting better medical evidence, you can start fresh and hire an attorney who can help you and although you will wait for another hearing, you may get a different Judge who will see things your way. Try to remember that if you lost your case once, you will need to do things differently if you apply again. You will need to collect all of your medical records, comply with your doctor's treating advice, and build a record that supports disability. Perhaps you will need to find a doctor who is more supportive of your case or who is a specialist in treating your impairments. It is the evidence which wins the case and it is your duty to present the best case that you can. Even if you lost the first time, you can win on a second application if you have the proper evidence. Don't be discouraged. If you can't work due to your disability, apply a second time and start over. Don't give up.