If you don't already have one, get yourself a pet dog (from an animal shelter is best because it is the charitable thing to do).
They provide friendship and are an excellent excuse to go for long walks in the country (or the park if you live in an urban area).
Also if you get one from an animal shelter, it makes you feel good that you have rescued it and gives you a goal to aim for in getting it up to a happy state.
There is nothing better than having a dog come up and sit next to you when you feel down. They sense your mood and come and sit with you. They won't leave you alone until you've made a fuss of them and when you do, it takes your mind off things.
Apart from that, exercise, talking about it, a healthy diet and plenty of sleep helps. Also, keep away from alcohol (it is a depressant) and any form of recreational drug. Chocolate and sex also cause the brain to release good chemicals...(now sex AND chocolate...there's a thought