What do you do for depression? Well, that really depends on what's causing the depression.
Are you depressed in response to something, like a sad event, or a rough time at school, or a crappy home life? Then a lot of these "take your mind off it" suggestions will probably help, as finding someone to talk to about it. Focus on getting over the sad event, trying to get things turned around at school, or finding someone who can help you deal with what's going on at home.
However, if the depression is just THERE, if it's attached to everything and nothing, it's more likely that something is starting to go sideways in your brain chemistry. In which case, a lot of the things people have already suggested will help but they won't cure it. In this situation, there are things that you can do on your own that have been shown in medical studies to help.
--Exercise. My stepfather gets depressed pretty badly, and when he does, he just goes walking until he starts to feel better. Sometimes he walks for hours, but it works. Some studies have shown that 30 minutes a day on a treadmill is as effective as a baseline dose of Prozac.
--Nutrition. Eat a balanced diet, make sure you get enough fruits and vegetables, because most people reading this thread almost certainly don't, including me. This can be hard if you aren't the one shopping and cooking for yourself, but stay away from the white stuff--white sugar, white flour--and processed foods as much as you can. If someone gives you a whole grain option for anything, take it.
Here are some other options you can try. They work for some people and not for others, with is true about most things in life.
--Herbal supplements. St. John's Wort has some good scientific backing showing that it's more than just placebo effectiveness. You can also try Gingko for alertness and focus, and ashwaganda for energy if the depression is weighing you down. You can try valerian, kava, and passionflower for anxiety if the depression is winding you up. Note that ashwaganda is not a straight up herbal stimulant like guarana or ephedra, which I would not recommend. Since herbs go stale and break down, it's important that you get them from a good source, like a health-food store. The ones they have in the vitamin section of the grocery store may have been sitting on the shelf for a very long time and might be no better than dried lawn clippings at that point.
--Nutritional supplements. B vitamins are very important to brain function. They are also noticeably absent from processed food, and they get leached out of your body by caffeine, so if you drink energy drinks, you should consider taking some B vitamins. Omega-3 and Omega-6 fatty acids, which you can generally buy in the form of fish oil or flax-seed oil, have been scientifically proven in a number of studies to improve overal brain functions. They also occur naturally in foods like walnuts and avocadoes.
--Other supplements. These are technically nutritional supplements too, but they are not your usual vitamins and minerals. They are things like Sam-E and 5-HTP. These are thought to be used by the body to make serotonin, one to the neurotransmitters involved in depression. Normally, your body would make these itself, and then use them to make serotonin, but if your body isn't making enough of these on it's own, then supplementing them can help.
You can find more info on treating depression with herbs and supplements here:
http://www.healthyplace.com/communities/depression/treatment/alternative/dietary_supplements.asp
But the fact remains that you may require medical treatment. Chronic depression, if left untreated, can slowly eat away at your life and do a lot of emotional and physical damage. There are so many medications for depression these days, I would recommend that you go to a psychiatrist rather than a general practitioner. I knew more about the current medications and their side effect profiles than the last regular doctor I went to.
As you might have guessed, I learned most of this stuff the hard way. I've been fighting depression for over 30 years and treating it medically for more than 10. Feel free to PM me about it if you want.