I think the biggest conundrum to depression is wanting to not be depressed. Ultimately you accept and relate to whatever frame of mind you find yourself in. When I'm depressed, I don't want to be not-depressed. I might not enjoy the depression, but it's what I relate to and it feels like it's where I belong, that's where I'm comfortable. I somehow think that if I get out of the depression I'll be part of some meaningless illusion of life being meaningful. It feels like I'll be lying to myself if somehow I escape. This makes it really hard to get out of the cycle; when you don't think you want to escape the cycle.
I'm not an advocate that anti-depressants are the end-all be-all, but I know that my medications are the only thing that lifted me up enough to WANT to get out my depression. This was key, because once I WANTED to get out of my depression I was motivated to do the hundreds of things to help facilitate this; music therapy, exercise, EFT, meditation, etc. But until I wanted to get over my depression, nothing in the world would help. And my medication was the key to this boost. On the other hand I feel that inevitably medication alone would have NEVER been enough. Also, much like other health related matters, I felt there were supplements that helped me in the long run as much as the anti-depressants (my anti-depressant helped within 2 weeks, whereas supplements took 6+ weeks). I take 5-HTP, Fish Oils, Flax Seed Oil and vitamin/antioxidant supplements as well as trying to eat healthier.
One word of caution though is how hard it can be to find the right prescription anti-depressant. I was luckier than many other people because it only took me two tries to find one that worked well for me, however, the first one I tried made my depression worse and increased my suicidal thoughts. After trying it I wanted to give up on trying others. Also, it came on subtly so I didn't realize immediately what was happening. When trying a new anti-depressant be vigilant in recognizing any signs of worsening symptoms.
Exercise has singlehandedly been the most beneficial treatment to my depression followed by Cognitive Behavioral Therapy. My choice of CBT has been listening to CDs and DVDs by Louise Hay, without her I would probably be dead by now.