The most common ones I've heard directed towards me by family:

'You've got nothing to be depressed about.'
'Just get over it.'
'You're too young to be depressed.'
And the one that takes the cake for me and is guaranteed to start an angry pissing contest:
'You think you're depressed? Well I have {insert plethora of crappy things here} and I'm fine. You're just whining and lazy.'

That was, unfortunately, about as 'helpful' as my family tried to be and about as far as most of them went to try and help me. I was lucky that my mother, father, and step-father actually helped me seek medical attention when they could.