Mindfulness-based Cognitive Therapy is the only therapy that has worked for me. Although I'm still in the early stages (started meditating about 3 months ago) and it can be hard to get yourself to meditate for an hour a day.

The main benefits for me have been:

1) Detaching from my thoughts (watching them go by like clouds in the sky).

2) Recognizing when my rumination and automatic thoughts are starting up and to simply turn to my breath and attempt to simply feel my emotions rather than narrating and ruminating about the feelings.

3) And my ability to have positive feelings has been improved, and I begin to view the world in a more approach oriented fashion

To be honest, I would literally go door-to-door preaching the gospel of MBCT if I knew where the depressed people were. It's not an instant fix, it took around a month of daily meditation before I started to see any "results." But I've finally found some hope, which is pretty invaluable.

The program I'm using can be found (audio and manual) here:

guilford.com/MBCT_materials