The best thing I've found for depression is to do something constructive. This is specific to a couple of things about me. One is that what depresses me the most is my own tendency to laziness; thinking I'm useless and don't do anything. If you get depressed you know that it makes you not want to do anything; you feel like it's not worth it, you'll just fail at it, which is a vicious cycle.
The other thing is I value effort over results. So I remind myself of that. I haven't really failed until I've stopped trying.
I tend to do something fun to distract myself from feeling bad, but this doesn't really help because afterwards I feel even worse about not doing anything useful. Instead I have to do something I don't want, then later I can get back to something I do want.
So, I'm going to go write some thank-you cards, and sharpen some kitchen knives for my parents (I'm good at that).