Anti-depressants are very helpful for lots of people, but they are not the end-all for depression. Many people run to their doctors for anti-depressants. You 
know anti-depressants: they're those pretty little pills that make ugly, weepy people into happy, beautiful people who run through fields of flowers (at least on TV commercials). It sounds too good to be true, and often, it is. I'm not a doctor, and yet I've seen that for many of my clients, they don't work so well, or there are side effects (weight gain, nausea, dry mouth, headaches, sexual dysfunction) that make them not worth the trouble.
When you want to feel less depressed, medication is only ONE alternative. To feel better - with or without medication - I recommend that you consider what I call "the anti-depressant lifestyle":
1. Do some kind of exercise every day; at least 20 minutes every day. It needn't be the gym, but it needs to be something strenuous enough to get an endorphin lift: these "natural" anti- depressants are better than anything money can buy.
2. Do not isolate. This is important: even if initially you don't enjoy it, force yourself to be around people. Slowly increase your social contacts and you'll be less self-obsessed and won't feel so alone in your sadness.
3. Force yourself to say hello to at least 3 people a day. Practice being approachable and pleasant-looking. This may sound obvious, but many people look unapproachable and aren't aware of it. If you feel really brave, you could try smiling a little bit!
4. Avoid alcohol or recreational drugs. Alcohol is a depressant and you know where that takes you, and the aftermath of recreational drugs is often intense sadness and loneliness.
5. No anonymous sex. This is not the time to put yourself out there and risk rejection or have sex that leaves you feeling empty and lonely.
6. Get out in nature, be around trees, flowers and plants...or the ocean, or the desert. Let Mother Nature work her soothing magic on you...plus you can check out all those good-looking men and women in jogging/hiking shorts.
7. Spend time around animals, if you like them (and if you don't, I feel sorry for you). If you have animals, this is the time to let them comfort you. Even goldfish are good listeners...you can imagine what they'd say! Animals are proven depression lifters. No animals of your own? Volunteer to walk a friend's dog or hang out with friends who have pets...petting a sweet dog or an adorable cat can be more effective than any anti-depressant.
8. Watch what you eat and drink. If you're tempted to eat junk food, (1) get yourself out of the house and eat at a healthy place or (2) buy some healthy food and make a nice, simple meal for yourself. A junk food diet contributes to depression (especially the highs and lows of large amounts of sugar and caffeine), so feed yourself healthy stuff and you'll feel less depressed.
9. Make yourself get dressed and leave the house, even on non-work days. Stay in bed if you're tired, but not if you're sad. My rule of thumb is: it's okay to stay in bed for the morning, but not for the whole day.
10. If you're depressed, let yourself have a good cry whenever you can. It's cathartic, and you're likely to feel better after. Keeping strong emotions inside is not good for your mind or body.
Michael Kimmel is a psychotherapist in San Diego, Calif. His website Life Beyond Therapy assists individuals and couples in their continued growth and development.