Depression Support Group
Depression is a real and debilitating condition that is often misunderstood by family and friends. Its meaning can range from a prolonged period of sadness to an actual mental illness with specific symptoms. Find and share experiences with others who are going through the same struggles.

Also, watching something funny. When I get bummed I like to put on The Office or Roseanne (just 2 of my personal faves:) and have a good laugh.
Generally taking care of your physical health makes it easier to deal with the mental health issues, in my experience. So I'd suggest also making sure you eat healthy and drink a lot of water. It'll make you feel at least a bit better.
I tend to watch sad movies, listen to sad songs, etc. But I think it's actually better to avoid anything negative. So if you feel like watching a movie or something, make sure it's something that could cheer you up rather than making you feel worse.
And remember to be kind to yourself. Don't beat yourself up over the way you feel and the things you can't do when you're depressed. Set small goals and celebrate small victories instead of bringing yourself down. If you need to take a rest, do it. If you need to cry, let yourself cry. Just take care of yourself.
Of course it's easier said than done, but try.
@Perry314 For me caffeine actually helps. Makes me functional on the days when I feel like I can't get anything done.
@phoenixx: I totally relate. On really bad days exercise is out of the question and almost dangerous for me - like, I shouldn't be driving to the gym, I'm so depressed or anxious! Best to stay home and self care and light stretching is an accomplishment. :)