As somebody who is dealing with a diagnosed depression, the most important thing is GET PROFESSIONAL HELP. I sometimes had the feeling that maybe I should get help. I should have talked to a doctor a year ago, but I didn't. So if you are in a rough spot for a longer time, if you sometimes have a hunch that maybe you should get some help. THEN DO IT. Go to a doctor. Don't worry, they won't laugh at you, and neither will they throw you into a mental asylum. (Well, I kinda was, but it was with my consent and it was a good anti-depression clinic thing, not Shutter Island).
Mental illness is tricky. Even though I have a depression, even though it was bad enough that I was sick BY LAW, I never FELT sick. I am tired, I cannot concentrate. And before I had the pills, I couldn't sleep. For 6-8 Months I slept around 3 hours a day. But that was it. When I finally went to a doctor, I thought I would just get a bit of help, not that I was really ill. The weird thing is, when I talked to people... there was not a single thought that I had and they didn't. The difference was that it did not keep them awake all night.
With normal sickness, it is clear who is sick:
PersonA: "Hey my leg hurts!"
PersonB: "Mine does too. Every Saturday morning it hurts. Weird huh?"
PersonA: "Yeah, but mine has a bone sticking out of it. Do you think I should see a doctor?"
This doesn't happen with mental illness. It is really hard to know when you should go and seek professional help.
As for the actual 'things' I do are simple:
Get outside regularly
exercise regularly in a way that is fun. If you don't like going to the gym like me, search a sport hobby that is fun for you.
Sleep regularly and at least 8 hours
Have fun with people regularly
Talk to a professional regularly
(this may be just for my situation): Accept that you are not as concentrated and don't have as much energy as normal. This isn't you, it is the sickness.
There is no simple way of getting out of a depression. If you are in a rough spot for a longer time, and you are searching for ways to alleviate it on the internet, then maybe you should talk to a doctor.
E: According to the 3 Psychologists I talked to, it is very rare for people to seek help early. The depression that everybody can get normally starts as a mild depression. When you get treated at this level, you get over it in 4-8 weeks. It is the same with back problems. Get treated early.
E2: OK, as I read your post again it didn't seem that bad anymore. I MAY have overreacted a bit. But the general answer is still the same: Exercise, Socialize, and don't be afraid to go to a doctor.