Something I have been doing, and it really seems to work much to my initial skeptisism is keeping a gratitude journal. What I have been doing is to once a day, usually before bed, is to sit down and write everything I am grateful for on that particular day. I write it in the format "Today I am grateful for..." I have been doing it everyday now for 3 weeks and am beginning to experience some good results. I have a tendancy to have very negative self talk, but now I am finding that I am experiencing more positive self talk when faced with difficult situations, or situations that would ordinarily cause me to beat myself up. I highly recommend this simple excercise to anybody. Some days it is more difficult to find things to be grateful for so when faced with that I focus on the simple things: grateful for my bed, for having had enough to eat, or grateful for having a roof over my head. Once I get rolling the things I find I am grateful for begin to come more easily. I have read, and believe it to be true that we need to write the things that we genuinly feel grateful for. I have also found myself feeling grateful for somebody else's misfortune, this I have decided is not a positive, and have since stopped writing about gratitude with any sort of negativity associated with it.
I am posting my experience because this is a simple, and very effective way to challenge's one's negative self talk, and begin to develop a more optimistic outlook on the world. I also think that the very act of taking some form of action to combat our depression is a big step in helping to feel more empowered.