I've had my own bouts with depression over the years--like one of the other posters said the worst thing to do is to fret over when the next one will come. I've gotten pretty good at identifying when I'm at risk and taking remedial action. One of the best things I've done is exercise regularly--not only does this have physical benefits it raises your endorphin level which produces a feeling of well being. Generally taking care of yourself physically has also helped me greatly--I've not gone the vegan route like Steve (I like cheese too much!) but I've eliminated almost all sugar, meat, caffeine, and dairy products from my diet. I honestly cannot believe what a difference it made not only in my mental state, but in my energy level as well. This combination of eating well and exercise not only helps mentally and emotionally, but you'll inevitably get in great shape and likely look better than you ever have.
I also think you can set your life up in such a way as to minimize or prevent the onset of depressive episodes. Don't isolate yourself and keep your circle of friends close--one of the most effective measures if I feel a depressive episode coming on is to just spend more time with friends. That's why its also important to have a career that you enjoy and are passionate about--its alot easier to sink into a depressive episode if you have work that doesn't challenge or motivate you; I've been fortunate to have a career that challenged and excited me greatly and that's helped immensely.
I'm sure you've heard of "seasonal affective disorder" but even if that's not your specific problem its always helped me to get out in the sun for a little while each day. I've not missed a day walking my dogs in over two years, which is not only good for them but good for me.
Those are just a few things that have worked for me--I'm certainly not going to minimize depression, but I've greatly reduced its hold over me with a few simple proactive steps...
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