I've had bouts of depression on and off since I was a teenager and generally they've been related to external events (e.g., being bullied at school, relationship problems, losing my father); the treatment has usually been counselling of some sort. When my dad died, I was working in a total dead-end job that I loathed and was deeply unhappy and felt absolutely powerless, even though that point of my life (just after uni) should have been full of potential. It was the only time I've been prescribed anti-depressants (Prozac), which just numbed all my emotions. I quit the shite job and lived at home with my mum for a few months (it didn't really help), then ended up getting a job teaching English in Japan for a year. That helped to snap me out of it because suddenly I had something to focus on and felt like I had control of my life again.
My most recent depressive period was the first 18-24 months of my current job. I live and work in Germany now, and when I first arrived I was thrown out of my first apartment after two days thanks to my landlady's crazy father, and ended up living with my boss for a month while I looked for somewhere else to live. HR were unhelpful in the extreme and the people I work with couldn't have cared less and were (are) extremely cliquey and unwelcoming. All this coupled with being apart from my boyfriend of the time meant that I spent a lot of time despising Germany, the people I work with and myself for ending up in this situation. My solution for this was to put my head down and push back - I focussed hard on my work (which at least I enjoyed) as a displacement activity and tried not to think about my situation too closely (with varying degrees of success). Slowly I found friends and have carved out a place and some grudging respect here, but it hasn't been at all easy and was only possible because I'm fantastically stubborn when I get going - I didn't want to let the bastards beat me down. Anyway, my attitude now is "Screw 'em." Next year I'm planning to quit this job, freelance instead and go travelling: just myself, a backpack, a netbook, and the world. Take that, bitches!