Maybe it's just me, but the only way I can actually feel better is to correct whatever the root cause is. All these things people are mentioning, like exercise, reading, music, etc. just make me feel worse in the long run because I have to force myself to do them even though I really don't enjoy it, and my problems are still there for later.
Be careful with antidepressants. Really. I was prescribed some a couple years ago, and they made me feel far worse. The depression did get better, but instead I just felt... nothing. My doctor kept changing medications around, and all of them had this effect, though the severity varied. It was awful, the depression almost felt good by comparison. I ended up developing a habit of cutting myself, just so I could feel something. Eventually, I just quit taking the medication and faced my problems. It made me lose all my friends, my brother won't speak to me anymore, and my dad said some things that I still resent him for, but it still made me feel better.
Anyway, that's just my experience. Depression is very much a YMMV thing. If you don't have one already, talking to a counselor may help. It doesn't do a whole lot for me, but I've heard a lot of people say it helped them a ton. It definitely won't hurt.