As you may have heard, the standard treatment for depression is usually a combination of CBT (cognitive-behavioral therapy) with anti-depressants. The medications make it easier for you to cope, while the CBT teaches you how to adapt your lifestyle to minimize the influence of depression, as well as to change how you relate with depression to keep it from getting so intense and dramatic.
Even so, many people wonder... "Are there alternative treatments for depression, or maybe complimentary therapies I can use?" There certainly are; you may ask your therapist not to prescribe any anti-depressants to begin with, and instead rely on natural remedies such as Kava Kava or St. John's Wort. Some of these herbs can be very effective in helping you deal with depressive states, but they shouldn't be mixed with antidepressants, since there could be a counter-reaction.
All Positive Experiences Can Be a Complimentary Treatment
In any case, the medicine or herbs you settle for will only be the tip of the iceberg. The real treatment involves you adjusting your behaviors and life outlooks; to that effect, there are many complimentary therapies you can pursue in parallel to your therapeutic treatment. Some ideas you should consider include:
Start doing Yoga or any collaborative sport, look for a new hobby that you find really interesting, learn to rely on other people for emotional support (not any person in particular though, since that could lead to attachment issues; instead, the idea here is to improve your ability to express your feelings to anyone who cares to listen, which means that joining a support group can be a great option). Seek a more active lifestyle, and you'll improve your health even as you work on your depression.
Do your best to work on improving your relationship with yourself, either by doing meditation, by changing how you look, or any other way that seems appropriate to you. Generally speaking -- try find new ways to get involved in life, that somehow help re-kindle your appreciation for being alive.