Staying busy and occupied is one of the best ways to avoid or deal with depression. Exercise, watching comedy, eat chocolate, and just throw your head back and laugh about it. If depression becomes extreme and/or chronic, the best thing to do is to seek out therapy and possibly take medication. There's absolutely nothing to be ashamed of this. (Don't listen to the stupid and insane Tom Cruise type, he's probably bipolar and needs medication more than just about anyone!)
I think that one of the best ways of dealing with depression is NOT to fight the feeling or think there's anything wrong with feeling depressed or beat yourself up for feeling this way. This only leads to feeling even more depressed and only serves to aggravate the feelings of depression. The best thing to do is to "accept" these depressed feelings and to remind yourself that it's perfectly normal and okay to feel this way and to be aware that eventually the feelings will pass and that good things and good feelings will eventually come. Time, Love, and Tenderness!