I've suffered from depression for ten years of my life, been hospitalized twice, gone to a dozen different psychologists, group therapies, tried various herbal remedies, etc. and the only thing that finally worked was a mild dose of antidepressants.
Unfortunately I was of the opinion for about nine of those years (like most people) that anti-depressants are evil, pumped out by the drug companies in order to medicate the masses into emotionless drones, that they only mask your problems and so forth but now I feel ridiculous that I didn't go on them about 8 years sooner. Basically it took the advice from a friend who was on them, in combination with the head of the psych ward telling me, "sure you have your prejudices about medications, but do you think things can really get worse at this point?"
I'm not saying they are for everyone -- chances are, you don't need them -- but if you find yourself being seriously depressed the majority of days for 6 months to a year, and you've exhausted all other options, you might want to consider going to a psychiatrist. Definitely don't go to a regular GP, they don't know enough about psych medications and won't adequately monitor your progress, whether you should switch meds or whatever.
That is only half the battle though, and medications take a long time to work, and also you may have to switch several times. There may be side effects (I don't have that many, maybe drowsiness), and some drugs may even make you worse. If you miss a few days of pills, sometimes even a day, or abruptly stop taking doses, you will crash. If you choose to go off them you will have to wean yourself off of them for several months. Luckily I hit it right on the first try, have very few side effects (if any), and didn't have too many problems weaning onto a lower dose, though this is not the case for everyone.
Even with meds you need to work hard at figuring out what makes you happy -- being on meds will only help you to think clearer about your situation and yourself without being completely crippled by symptoms of depression. You still have a lot of work to do on yourself.
Here is a list of other alternatives, to try before meds (or even during meds, if you go that route):
Exercise, eating well and sleeping well (a must)
Psychologist (a GOOD one)
Herbal remedies (St. John's Wort, various flower extracts, and scent therapy)
Art therapy (You can do this one alone, or there are some groups that offer it)
Light therapy (for SAD ppl)
Talking to friends (just to talk -- friends don't always have the best advice)
Volunteering or doing good things for other people
Reading teachings of Buddhists, Sufis etc. (in a non-religious way, of course)
Taking time out every day to relfect on who you are
Taking time out to relfect on your relationships with other people
Focusing on fixing various "cognitive distortions" (I won't discuss them here, but here is a list: http://www.healthymind.com/s-distortions.html
Enrolling in activities you always wanted to pursue but "didn't have time for"
Spending time with nature and animals (hike?)
Reading insightful novels
Laughing (there are some laughing youga sessions around)
I'm sure there are a million more, but here's a start. It's really hit and miss what will work for you -- these are just some ideas.
Though I've had my ups and downs, I'm happy to say that I've beaten depression for the last year and a half, and it's been the best year of my life. So there is hope. And I'm defo around for anyone on this forum who needs and ear or a shoulder. (Or just more info on all things depression)
Much love to everyone who has gone through depression on this forum (which seems like a lot of people), it's awful and though I can't know exactly what you're going through as everyone is different, I know life just tends to be a tough road, so kudos to you for sticking around