In most cases you can bring yourself out of depression without medication.

Many people choose medication because they are not aware of alternatives or think that therapy will somehow be discovered by friends or family. In reality therapists take great steps to ensure privacy.

There are some types of depression that may not necessarily be in your control. If you have some type of neurological functional impairment or hormonal disorder your depression may be moistly biochemical. It might not be possible to bring yourself out of depression.

Remember that your brain naturally produces it's own "medication." There is very interesting research that has been centered around the power of thought to change the processes of the brain.

I also recommend CBT (Cognitive Behavioral Therapy) in treating your depression.