stuff to do when you're depressed: exercise, sex, meditation, green tea (l-theanine)
to the OP,
Most people have been talking about drugs or CBT in this thread, but there are a couple of really simple things that can really help depression. Personally, I find sticking to any regime (except for taking drugs regularly...

) pretty difficult.
Do you exercise much? Doing something that gets you sweating and gets your heart pumping, ideally every day can make the world of difference. It lets you forget about your day to day life and worries, and unlike taking drugs to escape, you have the knowledge that you are doing something for your health that you will definitely benefit from. It can also give you a nice endorphin release, which can make you feel relaxed and content after the exercise. My parents always tell me to exercise when I'm depressed, and although I don't usually do heavy exercise (I mainly just walk a lot, or ride my bike in the summer,) and often don't take their advice, when I do I find it helps quite a lot. Problem is that you usually don't feel like doing *anything* when you're that down.
Also, have you ever tried meditation? This is another thing that I can never really seem to keep up a routine with, but when I do get into it for a month or so I notice the effects quite a lot. There are programs (ie brainwave generator) which play binaural beats which can really help you get into the meditative state. I swear by bwgen - if only the crack worked on my computer. To be honest I'm actually considering purchasing either bwgen or a program like it, because I find it so effective. The bwgen website hosts hundreds of user-designed presets, some of which are really great. Most of them admittedly suck though. The main problem with binaural beats is that its really hard to wear earphones while going to sleep / sleeping unless you sleep exclusively on your back. But yeah meditation can definitely cut through anxiety, and also provides a means to take your mind off the negative thoughts that must plague you. It also teaches you to really take notice of what you are thinking - even when you're not meditating. Noticing what you are thinking can help you in eliminating negative thought patterns - a process which most people familiar with depression and working through it will recognise as very important.
Sex can be really therapeutic if you have a girlfriend/boyfriend. Otherwise a good wank can be a great start to the morning.
One more thing - this time drug related: green tea contains an amino acid (not one of the 20 or so amino acids used in proteins, mind,) called l-theanine which has some really interesting properties. I'll look it up and start a thread on it actually. We've talked about it here in ADD before I think. It can be bought as l-theanine pills, but they're pretty expensive compared to green tea. If you ever found green tea really relaxing and wondered whether it was just the fact that you are sitting down taking a break with a hot drink, or something more (besides the caffeine content, which is actually higher than people think in tea,) it could be the L-theanine.
I find green tea to be an elixir, and its excellent for studying or sitting down to write an essay, working etc.
What I'm trying to say really is that there are some pretty simple things that you can do in your life that can really help with depression. I was put on SSRI's (paroxetine then citalopram,) for about 2, maybe 2.5 years from the age of ~16-18, and I'm damn sure that it did some pretty permanent things to my brain. Whether it was simply that my brain was still developing or not I don't know. I had some pretty serious sexual side effects from SSRIs like not being able to orgasm with anything else than my own hand - that effect probably gave me more depression than the SSRI's ever alleviated, and also got wierd headrush/possible minor seizures.
Since I went off SSRIs, (I am now a few weeks away from being 22,) I have tried taking them again just to see what would happen. The effects were very interesting: I did not tolerate them at all. I would get this wierd feeling very similar to MDMA-induced Mondayitis: lethargy, 'not knowing what to do with myself,' occasional waves of mild euphoria, and then back to the bad feelings, and extreme insomnia amongst other effects. As part of a bit of self-experimentation I tried to take 20mg citalopram every day for a week, and only got up to day 3 before I decided it simply wasn't worth it. I *loathe* insomnia. I have also tried taking 10mg to see if the insomnia would go away but it didn't make much difference. Has anyone else experienced this from SSRI's? When I was put on them as a teen I got a few side effects when I was starting out, but I definitely tolerated the drugs.
Other interesting drugs that you could investigate with your doc are venalfaxine, (effexor,
http://www.dr-bob.org/tips/venlafaxine.html) and perhaps amineptine (Survector,
http://en.wikipedia.org/wiki/Amineptine) Do they actually still script this? what about tianeptine? I think I remember seeing amineptine on
www.antiagingsystems.com which is incidentally a fascinating site. You can get piracetam, deprenyl, all sorts of 'smart drugs.'
Venalfaxine is apparently pretty addictive actually.
On another note, I think one of the reasons I started taking opioids was self-medication for depression/anxiety. I take 70mg methadone daily now and I find it to be an excellent depression medication. Getting into junk because you're depressed ain't exactly the smartest thing to do, as it will invariably lead to more depression over your future state.
So, good luck. I've been there before, and there was a light at the end of the tunnel. Just remember, being depressed isn't "all or nothing," which is a common depressive thought pattern. No matter how depressed you are there will be *something* good in your life (unless you're a prisoner at Guantanamo Bay or something.) Focus on that.