Something important fitness-wise is to experiment around with different sports... rock climbing, swimming, mountain biking, long boarding, etc.. If you can find something that you love to do, and that you are able to fit into your schedule regularly you will do it simply because you love it, and the fitness benefit is just an added bonus.
With alcohol, cigarettes, and eating it is best to slowly cut back, and restrain yourself sometimes even though you want to do it. I think the electric cigs are also a pretty cool thing for people who want to change, but have trouble doing so. With alcohol try not drinking every second or third night if you drink every day. The thing that I probably will never cut back on is eating. I love to cook, and I love good food. I do a shit load of mountain biking, so I burn off everything I eat. It does make a huge difference what you are eating..people aren't lying when they say a balanced diet with good carbs, fats, proteins, and lots of different colors of fruits and vegetables will make you feel a lot better.
I am of the opinion that much of the depression in the western world stems from people not living more like we would in nature. Many people have gotten so far away from how we should be. The culture we live in says what is good, and what we should do to be healthy and happy, but often times fucks us by not giving us enough time to do it. Sometimes it is near impossible to find the time, but if you can try to eat better (you don't need a ton of meat every day for instance), and just get out and MOVE you will feel better.