Just get through stuff. It's a tough road, facing things down until I feel wrung out, but at the end it's no longer consuming me. I've found that writing is my best outlet for this, thus my current writing project is a (fictionalized) memoir.
I'll play a movie while doing stuff around the house, occasionally watching but mostly just listening to the pretty sounds and human voices. Radio works, too, though if the wrong (read: depressing) music plays, it's worse.
Doing stuff outside makes a big difference for me. Especially if it's sunny and I do something productive. Just mowing the lawn counts, though the first time I mowed after Kij left was so sad that I cried the whole time. Some kind of symbolism, I think.
The irony here is that when I'm depressed, I don't feel like seeing people. I have to make myself do it. Thus my weekly gaming with friends: I have to get myself into a place to be social because it's a regular thing. This has really helped.
It's like blzblack's exercise item, but it needn't be a big deal. I try to bicycle to work when the weather is decent, ride the stationary bicycle (parked in the middle of my living room, near to the TV for watching movies/news), lift weights, do sit-ups and push-ups, and so on every day.
Is a biggie for me. As I get depressed, I tend to be unable to sleep. So just doing it makes a big difference. Doing enough of it (9 hours for me) really helps.
Yeah, I kind of forget to eat some times when I'm down. Then I'll be starving and non-intelligent, or I'll eat crap because it's all I have around. Trying to do three regular meals a day is to happiness as not eating is to depression.
Just some off the top of the ol' noggin'. What works for you?