I've found the following activities helpful in dealing with my mania (I have bipolar I rapid cycling), but they can be just as effective for people with depression:

* Take a short walk (In my case, I take a long walk to calm myself down.)
* Listen to pop or country music that has a good, danceable beat (I listen to soft, calm music like smooth jazz or classical to help control my mania.)
* Read a good book
* Write in a journal/create a mood journal so you can keep track of what triggers your depression
* Take a walk in nature or along the beach
* Watch a TV documentary or movie with a happy ending to help get your mind off of your emotional state
* Cook a nice meal or delicious snack for yourself
* Try to keep yourself busy by running errands
* Call or visit a friend
* Run on a treadmill/exercise
* Talk to your pdoc and/or tdoc