I guess whatever helps in a depression.

Usually I have to love my depression and ride it to the gates of hell, but I never take the plunge.

Sometimes I find movies like The Thing, or The Grudge, or Giger style art helpful if I'm feeling particularly disturbed and need to be repulsed. Pure depression is probably the rarest of mood disturbances I get--I almost never have that low energy phase most people on here describe, so melancholia for me is calming--a bit cathartic, which is a break from being filled with dark energy.