My favourite book about depression is "Darkness Visible" by William Styron. It's the author's own account of a depression he went through. On the back cover it says something about offering "the solace of shared experience" and that's what it did for me. I read it when I was very depressed and I found it comforting. It's not a self-help book, it's just a very honest account of depression. He has no miraculous solutions for coming out of the depression. He does eventually come out of it, though, just like most of us do.
I have recommended it to loved ones of people who are depressed. As we all know, some people who have never been depressed think that it's just sadness. They don't understand how it feels. Styron's book is a very short, easy read and he expresses so eloquently what depression feels like. It's very enlightening for people who have never been depressed. I think it can give them insight into what their loved ones are dealing with.