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Social media is increasingly being used during crises. This makes it possible for crisis responders to collect and process crisis-related user generated content to allow for improved situational awareness. We describe a methodology for collecting a large number of relevant tweets and annotating them with emotional labels. This methodology has been used for creating a training data set consisting of manually annotated tweets from the Sandy hurricane. Those tweets have been utilized for building machine learning classifiers able to automatically classify new tweets. Results show that a support vector machine achieves the best results (60% accuracy on the multi-classification problem).