I've had dysthymia (mild chronic depression) since childhood. I don't usually write about it because, well, writing makes me happy, and so I'm not experiencing "the blues" whenever I write. (I did write about depression in this blog post: http://paulstroble.blogspot.com/2011/03/lent-and-depression.html.)
Music does the same thing, so I often have music playing during the day (although other times, the silence of a quiet house or the sounds of the outdoors are more enjoyable). Teaching makes me happy, too. I also love do things like antique-shopping with the family, taking walks with the family, and so on. I think it's good sometimes to treat yourself with something silly; for instance, in nice weather I might stay barefooted for an errand or a walk or drive. Hobbies are wonderful: I used to do pencil-sketching, and I still do photography. If my life has a good balance among work, family, friends, service, and leisure activities, I'm much less prone to sadness.
Sometimes the funk is difficult to shake, and I muddle along and have poor energy even for favorite things. (The dearth of blog posts and tweets this past week betrays a recent struggle for optimism.) Nevertheless, I keep moving forward until, finally, the sadness "breaks," like a fever.
I do have more "spiritual" approaches to the blues, too, but I don't want to say anything foolish or cliched---like a nimrod I once knew who said, "Have you prayed about it?" When I'm blue, I do enjoy reading devotional literature and helpful authors like Henri Nouwen, Barbara Brown Taylor, and others---people who really stress the promise of God's love amid life's struggles. I know that reading academic books about the Bible isn't everyone's taste, but that is also something I like to do---learning new things about the biblical text. If any of us are prone to the blues, we can seek God's guidance for the kinds of activities and hobbies through which God consoles us.
These are all aspects of my own experience. I would never imply that my experience is normative, or that the things that help me would help others---they may or may not. Someone with major depression, for instance, would not be helped by my simple little techniques. If you feel depressed, please talk to good folk in your life to determine ways to help you, if you haven't already.
I very much appreciated this excellent piece about depression and its effects. This description of depression is so good and so apt, and I've memorized it in order to help myself: "[Depression is] like your brain is wearing a full-body armor designed to keep only the good things out. Bad things -- negative comments from your boss, getting rejected by an OKCupid date, petty complaints from your mother -- get ushered in instantly, like VIPs." http://www.xojane.com/issues/why-are-we-so-shocked-when-someone-young-and-beautiful-commits-suicide