Woo. I was mildly depressed last winter/spring, but I am over it now. I remember once coming home from a friends house, and taking a shower and thinking about committing suicide seriously for the first time, and I scared the shit out of myself because I thought I might actually have the balls to do it. I also remember doing my physics homework one night and having tears falling on the page for no reason. I am over that now.
I'm not sure how I did it exactly, but I know some things helped. For one, I got a therapist, but he more guided me towards these things more than anything else. One thing that really helped was learning and giving myself a narrative of my life. I read Joseph Campbell, Jung, Robert Bly, etc. and they all gave me wonderful ways to frame my current situation in grand, mythical terms and learn to love my place in society as a young man, and empower myself. Second, take some time off and challenge yourself. I would highly recommend NOLS, which basically takes you out in nature for a month and kicks your ass, but makes you believe in yourself more than anything. Also, you will make awesome friends. I did it for a month in Alaska and when I came back I felt more confident and ready to rock than ever before, and I still feel that way more consistently than I did before the trip.
Small things:
+1: Excercise - run! run! run!
+1: iPod + nature walk
+1: Diet. It may not help but if you think it will, it will.
+1: Friends
This is an old posting off the rants and rave section of craigslist, and I don't disagree with a single point:
http://www.craigslist.org/about/best/sfo/279126743.html