I've been dealing with depression for the past several years. It helped, at least to some degree, to see a therapist and have someone to speak to about the various issues I was/am dealing with. I've been on medication for awhile now (first Celexa, and for the past five months or so Paxil) and still don't completely feel like it is helping, since most days I seem to be limited to a range of emotion between deep depression and indifference. I'd say that having friends and family to talk to and engage in activities with has been the most beneficial thing for me. Finding little things to smile and/or laugh about - things that temporarily break the hold of the depression - throughout the day has made it easier to cope, as well.
A friend sent me this link awhile back. It helped me to feel less isolated in my depression, and that there might be hope of emerging from it at some point: