These are the approaches I find work best:

Exercise, always combined with music
Sunshine
Sex (when possible)
Getting out and volunteering, which is a quick perspective-changer
Doing something creative, like painting, stained glass, singing, piano-playing, or embroidery
Spending time with my son or my baby nephew
Spending time with my dogs and cats
Journaling or talking to someone, usually my spouse but also my dad or my best girlfriend
Eating right and drinking lots of water
Staying away from refined sugar and flour and not drinking alcohol
Getting enough rest, although, to be honest, when I'm depressed, a desire to want to sleep 14 hours a day is one of the main ways I know I'm in the pits

For me, prescribed antidepressants, while I know they work well for many thousands of people, are not ideal. I hate they way they make me feel, and they have nasty side-effects. I think folks who're seriously depressed need to consider them, however, and if I were incapacitated with depression, I'd do the same.

The worst part about depression, at least to me--and I get it mostly during the short days during the wintertime--is that, when it's present, it's uniquely hard to pull myself upright and get out and tackle any of the things on my list above. Taking those first couple of steps toward positive action is always a challenge.