Colorful is a powerful movie about a teenager's suicide.

The Bell Jar by Sylvia Plath is always one of my favorite reads about depression.

Hyperbole and a Half is an online comic that mostly is completely utterly ridiculous and hilarious but she has written a couple things about depression and her way of describing it is spot on and wonderful.

Generally though I tend to nurse sadness with old movies I loved as a kid. Things that make me laugh and stuff like that.