Depression is very hard to watch or live through if you have experienced it yourself. People who are depressed are just trying to survive and to function. The tragedy is that while a depressed person is stuggling just with daily life, they are unknowingly self-destructing physiologically. Depression is extremely hard on the body and mind, arguably as hard as being overweight or smoking.
We've already covered how Depression Can Lead to Erectile Dysfunction and I've even discussed how depression lowers testosterone. The problem is that depression raises cortisol and cortisol lowers this critical hormone. Of course, lowered testosterone is bad for the male brain in general in and of itself, but you should all realize that elevated, long term cortisol actually shrinks the brain.
It's true: individuals with long term depression actually have a shrunken hipposcampus, the seat of memory for us human beings. I am bringing this up, because depression is very, very serious stuff - I've been there by the way - and should be treated with the highest priority.
CAUTION: Antidepressants are known for having erectile dysfunction as a side effect. Even worse is the fact that evidence is mounting that they are little better than a placebo at curing depression. Edronax was recently found in the British Medical Journal to be ineffective (and studies doctored).  A recent, more extensive meta-analysis of twelve different antidepressants found the same thing: drug companies were not submitting unfavorable study results leading to a misleading bias.  However, do not quit an SSRI or antidepressant without discussing it with your doctor first.
Below I've written some of the ways that science has shown that depression can be treated and helped. If you (or someone you love) has mild to moderate depression, these may actually lead to a complete cure. (Please see your doctor as well , of course, as depression is a serious medical condition.) I am certainly not saying that one just make a few lifestyle changes, snap your fingers and get over major clinical depression. No, we humans are very complex creatures and some of us have had a nasty past.
However, I do want to help and believe that science has shown that the items below will help almost anyone with depression regardless of severity. Some of you will be shocked at the results that can be achieved. It is important to start right away, because depression is a viscious circle: the lowered testosterone and erectile dysfunction often lead to more depression which then leads to increased stress and cortisol and so on.
NOTE: Depression can have very deep roots. Childhood sexual abuse, for example, leads often to adult-onset depression particularly in females, but also in males as well. See my page on Dysregulation of the HPA Axis for more examples.
Here is what the research has shown:
1. Weight Loss. Researchers just recently found that weight loss can significantly improve depression.  A weight reduction of just 8% resulted in a significant loss of depressive symptoms. In a 200 lb male that's just 16 pounds.
2. Exercise. Numerous studies have shown that moderate exercise can very significantly help with depression. The results have often been just a little short of miraculous and every person with depression should consider exercise in their arsenal.  Furthermore, one study on females showed an improved hormonal - cortisol and norepinephrine - response thus demonstrating that exercise combats the most degenerative aspect of depression. 
3.5 Magnesium Therapy. Know anyone with severe, untreatable depression?
3. Folic Acid and Vitamin B12. Folic acid (or folate) helps builds a molecule called SAM that is imperative for neurological function. Low folate levels are quite common and can be a major contributor to depression. One study concluded, "There is now substantial evidence of a common decrease in serum/red blood cell folate, serum vitamin B12 and an increase in plasma homocysteine in depression...On the basis of current data, we suggest that oral doses of both folic acid (800 g daily) and vitamin B12 (1 mg daily) should be tried to improve treatment outcome in depression".  Furthermore, severe depression has even been linked to low folate levels based upon a study of Finnish middle-aged men. 
CAUTION: You must be careful not to take too much folate as folate is also used in DNA replication and repair, which is why it is so critical for pregnant mothers. However, it also looks like too much folate stimulates cancer in some case for this same reason and it has been implicated in various GI cancers. The problem is that we are supplementing many of our (more trashy) cereals and breads leading to, for some individuals that eat that kind of food, over-supplementation of folic acid. You can also take too much Vitamin B12 as well to where it actuallyis destructive to neurological function.
4. Fish Oil. The studies have been somewhat mixed, but study after study in the last few years has show quite consistently that fish oil improves mood and often helps with depression as well. For example, one study of heart patients found significantly more patients with depression when comparing those with the lowest levels of omega-3's versus those with the highest.  Furthermore, children with major depression showed significant improvement when put on fish oil compared with the control group.  And a 2009 study of menopausal women found the same thing.  Please read these pages about How Fish Oil Helps the Heart, How Fish Oil Helps Testosterone and How to Buy Fish Oil.
5. Food and Seratonin. I also recommend that you read this link on How to Boost Seratonin and Other Neurotranmitters Through Food for additional help. Depression is often linked to seratonin receptors and many of the modern medications target this neurotransmitter.
6. Sunlight. Scientists have recently found that sunlight has a significant impact on cognition, especially in depressed individuals.  The lead researcher, Shia Kent, pointed that light has actually been shown to affect not only melatonin but brain blood flow. Bottom line: open the drapes and go for a walk if you live in a non-sunny climate for the sake of your brain. Of course, sun exposure is also a major source of Skin Damage, so indirect exposure is best.
7. Moderate Drinking. This may be counterintuitive for some, but moderate drinking, one to two drinks per day, is associated with decreased rates of depression according to a recent study.  This backs up previous work that showed that ending moderate drinking was tied to increased depression rates as well. In other words, moderate drinking may be depression protective and possibly curative as well.  Read my link on Alcohol for more information. CAUTION: It may be unadvisable for someone who is depressed to begin drinking and, of course, if you have any history of alcohol issues, this will only make matters worse. Heavy drinking is associated with increased depression and even shinkage of the brain.
8. Concussions. A surprising number of guys have had several concussions in sports such as football, soccer, biking accidents and so on. The evidence is coming out almost monthly on the damage that this does to the brain. Concussions are very common: a NeuroSurgery Today article estimates that between 4 and 20% of football players will end up with a concussion during the course of a season for a total of 300,000 per year in American alone! Concussions, especially repeated ones, create multiple kinds of damage including "neurofibrillary tangles" that are found in NFL players who have problems with depression, erratic behavior, suicide and quasi-dementia. If you've suffered a lot of sport-related head injuries, depression can surface in later years as a major issue. A recent American College of Sports Medicine study found that 20% of retired NFL players who had had three or more concussions were experiencing depression.
9. Processed Foods. Processed foods have just been linked to depression.  This is not surprising since they are full of excitotoxins, transfats, high glycemic foods and who-knows-what-chemicals and low in vitamins, antioxidants and minerals. Your brain, more than any other organ in the body, needs an abundant supply of vitamins and minerals as well as protection from free radical damage and poor blood flow. You will only get the opposite effect from processed foods.
10) Low Fat Diet. A Low Fat (Ornish) Diet has been found to boost mood in multiple studies. For more information, read this link on How to Control Appetite and Boost Mood through Diet.
11) Saffron. An extract of saffron, the expensive yellow spice valued from antiquity, has been found to be an antidepressant as powerful as Prozac. 
12) Potatoes. No one has shown that potatoes are a cure for depression, but they may well help. Studies show that they actually stimulate seratonin production. 
13) Vitamin D. Vitamin D deficiency was recently found to increase the risk of depression by 85%.  This is no wonder since Vitamin D is ties into feelings of energy and alertness.
14) Light Therapy. Researchers have noted that light therapy helped with depressed patients and a recent study verified the same.  If you're depressed, light and lots of it, is your friend.
15) Low Testosterone. Testosterone profoundly affects the male brain and the lack of it can lead to mood issues and depression. One research summary points out that men with testosterone below about 290 ng/dl (10 nmol/l) are at increased risk for depression.
15) Progressive Muscle Relaxation. A number of studies have shown this simple relaxation technique can help with depression. For more information, see this link on Progressive Muscle Relaxation (#4).
16) Mindfulness Based Cognitive Therapy (MBCT). Mindfulness Meditation is incredibly powerful and, when combined with a form of cognitive therapy, results in a clinically effective strategy called Mindfulness Based Cognitive Therapy. And it has built up an excellent research track record with depression. One meta-analysis concluded that it prevented relapse into major depression at a rate of between 34-43%. Statistically, this are very good results for something as serious and difficult to treat as major depression.  The authors also noted that "in two studies, MBCT was at least as effective as maintenance antidepressant medication."
1) Society for the Study of Ingestive Behavior, July 29 2009, Faulconbridge, Weight Loss Improves Mood In Depressed People, Annual Meeting of the Society for the Study of Ingestive Behavior (SSIB), July 28 - August 1, 2009.
2) J of Affective Disorders, 93(1):79-85, "Physical activity, exercise coping, and depression in a 10-year cohort study of depressed patients"
3) The Eur J of Pub Health, 2006, 16(2):179-184, "Effects of physical exercise on depression, neuroendocrine stress hormones and physiological fitness in adolescent females with depressive symptoms"
4) Journal of Psychopharmacology, (2005), 19(1):59-65, "Treatment of depression: time to consider folic acid and vitamin B12"5) Journal of Psychotherapy and Psychosomatics, news release, June 2009
6) Am J Psychiatry, June 2006 , 163:1098-1100, "Omega-3 Treatment of Childhood Depression: A Controlled, Double-Blind Pilot Study"
7) Universit Laval, Feb 1 2009, "Omega-3 Fatty Acids Ease Depressive Symptoms"
8) Environmental Health, 2009, 8:34 (28 July 2009), "Effect of sunlight exposure on cognitive function among depressed and non-depressed participants: a REGARDS cross-sectional study", Shia T Kent, et. al., Environmental Health (in press)
9) Addiction, Aug 3 2009, 104(9):1519-1529, "Anxiety and depression among abstainers and low-level alcohol consumers. The Nord-Tr ndelag Health Study"
11) The Brit J of Psychiatry, 2009, 195: 408-413, "Dietary pattern and depressive symptoms in middle age"
12) Journal of Ethnopharmacology, Feb 2005, 97(2):281-284, "Hydro-alcoholic extract of Crocus sativus L. versus fluoxetine in the treatment of mild to moderate depression: a double-blind, randomized pilot trial"
13) Psychother Psychosom, 2004 Nov-Dec, 73(6):334-9, "Dietary folate and the risk of depression in Finnish middle-aged men. A prospective follow-up study"
14) YourHealth, Mar 2009, p. 29.
15) International Archives of Medicine, Nov 11 2010, 3:29, "Serum vitamin D concentrations are related to depression in young adult US population: the Third National Health and Nutrition Examination Survey
18) Archives of General Psychiatry, 68(1), January 2011, "Bright Light Treatment in Elderly Patients With Nonseasonal Major Depressive Disorder"
19) Asian Journal of Andrology, 2010, 12:136 151, "Androgens and male aging: current evidence of safety and efficacy"
20) Clinical Psychology Review, Aug 2011, 31(6):1032 1040, "The effect of mindfulness-based cognitive therapy for prevention of relapse in recurrent major depressive disorder: A systematic review and meta-analysis"