Lots of sunlight, 1 hour of fastwalking everyday, plenty of water, limit coffee to one cup a day, no sugar or junk food, eat mostly foods that will stabilize your blood sugar levels, stay away from irritating peeps.  If your depression's severe, you should seek medical help, especially if you have suicidal thoughts; you don't want to deal with all that on your own.  Good luck!

exercise!!!it really saved my life
look for power yoga lessons.depression will go away.and 30-60 minutes of fast walking as mentioned above.
Plus the changes in your body through exercise will boost your confidence.

Just a quick comment on meds - if what you're taking isn't working for you, definitely talk to your doctor.  There are a number of different types to try, and one medication may be perfect for one person and not right for another.  Some people will even have the opposite reaction to a particular medication than what most people do.  (See reports of people committing suicide while taking Prozac, for example.) So, if you are going to go the medication route, open communication with your doctor is very important.

My personal experience was that Prozac was only mildly helpful, but when I switched to Zoloft it was like night and day.  (I've since learned that this was because much of my depression was stemming from anxiety caused by social phobia.  For me, the anti-anxiety component was important.) 

Taking long walks is a great start to clearing & energizing your mind which in turn will help your depression. There are also natural remedies such as St. John's Wart that you can buy over the counter.  Some peeps swear that it relieves stress quite well.