Exercise.
Now I'm not trying to say that exercise alone will lift you out of your depression and make everything better, but it will help, even by itself. What's more, it can really help to get the ball rolling, acting as a sort of catalyst for other kinds of progress.
There are so many benefits that I'm having trouble thinking of a coherent, logical way to express them. Maybe as a narrative?
OK, so you're depressed. It takes a mountain of effort do do the simplest things, so you generally do nothing other than watch TV or play games or dick around online or whatever, which makes you feel even worse about yourself, making it even harder to do anything productive. Lather, rinse and repeat.
You have your ups and downs, though, and on some of the ups, you say to yourself, 'Fuck this. I'm gonna get my shit together, get my life in order. I'm gonna [insert master plan here]!'
You're determined. Enough is enough. You make some grand plan, and you're doing great for a while, but the up doesn't last forever and with it goes any chance you had at following through and you're back where you started, only with another failure under your belt.
Up, down. Up, down. Up. 'Fuck this, yadda yadda, life in order. I'm gonna get in shape! It's not OK to look like a stick figure who swallowed a basketball!" (That's me - your mileage may vary, but if you're depressed, chances are you're not exactly in tip-top shape.) So you go for a run. Not to a gym, full of people who are fitter, tanner, better looking, happier and more successful than you, but to a park or something, the less people the better. That way you can rock out to your motivational playlist, or make up stupid training routines a la Rocky, or whatever, without feeling like a complete idiot.
Fifteen minutes later, your lungs are on fire and you can barely walk, so you stumble home and maybe do some push-ups to make yourself feel better for not even making it to a mile. You shower, and there you go. You've exercised.
You sit back down in front of the computer, but a few things are different. You've accomplished a goal; done something productive, small as it may be. You've gotten your blood flowing, not to mention some endorphins. Your muscles are feeling pretty sore, and though it hurts, it's kind of a welcome change to feel anything at all (plus, they'll probably be a little inflamed, making them feel bigger and heavier, allowing you to convince yourself you're well on your way to looking like Brad Pitt in Fight Club.) You just showered, so you're feeling nice and cleaned up. If you went for your run during daylight, you'll have gotten some sun, so you'll have a bit of a mood boost from that, too, and maybe even a little color.
All in all, you're feeling pretty satisfied with yourself, all things considered - productive, healthy, clean, better looking - and all it took was 30-40 minutes from the moment you decided to go to the time you're plopped back in your chair.
The mood probably won't last very long, but while it does, you're more likely to score other small victories - brush your teeth, clean your apartment, have a glass of water instead of a beer, hold off for a while on that cigarette, cook a meal instead of ordering pizza...
Like I said, small victories, but they have a way of building on each other. And that's just the immediate effects of the first workout. Each one after that, even if it takes you a week to go again, is better than the last. You can see easily identifiable progress. Soon you're running a mile instead of half, though you had to walk a couple times. Then you're running - actually running - 2 miles. 30 push-ups instead of 15. 10 pull-ups! It's like you can watch your stats increasing (RPG fan here.)
And it's not just about numbers. You'll start to feel it in every movement you make, in the way you walk, in your posture. You'll just feel... stronger. More confident. Not because you're going to go out and kick some ass, but because you just might be able to hold your own if somebody tried to kick yours.
Not to mention the superficial changes. You'll look better. Better skin. Healthier color. Fitter. Your entire shape changes (again, assuming you started out in pretty bad shape.)
All of which will make you more attractive to others (which might have the added bonus of facilitating a situation in which you might show off your new-found sex drive and stamina,) but more importantly, it will make you more attractive to YOU.
I haven't even gone into how it can help to clear your mind. It can be like a kind of meditation - alone with your thoughts, no distractions, just the thump-thump-thump of you footsteps or the clinking of the weights and I just realized the degree to which I've been rambling, so I'll try and wrap it up.
To conclude, exercise probably won't single-handedly lift you out of dark pit of depression, but it can be an easy way to ameliorate the lows and give you an overall boost everywhere else. A relatively small boost, but maybe enough to allow you to grasp a handhold that was previously beyond your reach.
Oh, and another thing. Weed can be a great way to zone out and pass the time, but it's your worst enemy when it comes to actually getting out of depression.
And one more thing. Don't quit drinking. Well, if you're getting hammered on a daily basis, yeah, quit. But if you do, avoid hanging out with people who are drinking. Being sober around a bunch of drunk people will only intensify your contempt and hatred for the rest of humanity.
EDIT: Holy shitballs, that is a long post. Sorry about that.