I've learnt a good technique where I just work on being angry. Doesn't matter what about, even just at myself for being depressed. When I get to angry, I'm not feeling despair anymore. I allow myself to focus on being angry for a while but then that turns into frustration. Then I just become annoyed. And before I realise I'm not depressed anymore.
I know all that is a lot easier said than done but over the years I have got better at it.
Another tool I use is to make a list of 20 things I'm grateful for in my life. At first I can't think of anything, but I make myself work at it and start to remember some good things. Good things that I should be happy about.
I realise not everyone's depression is the same but these tools work for me so I thought I'd share.
That's not really the way clinical depression works though. Letting yourself wallow in bona fide clinical depression is unhealthy because it reinforces neural structures that strengthen your depression, making it harder to get out of, and easier to relapse into later. There's also evidence that being depressed causes widespread cognitive impairment, and it's possible that those effects could linger (or at least ripple) after treatment.
In short, you want to stay depressed for as little time as possible. But if you're enjoying feeling sorry for youself, that may be something other than depression.
Though I have learned to live with the depressing stuff without any kind of medication. Mostly I do this by shifting my thoughts about the depressing stuff to something which I find nice. Though too often it is a good movie, but still that is almost two hours break from thinking about the depressive stuff.
And if you manage to have a somewhat healthy something else, you're relatively lucky :)
I am glad that you've found something that works for you.
Since I take their input, my life is bliss :
* wall-e on romance : now I date an ipod
* robocop on hairstyle : I had to stop as it screwed majorly my head
* HAL-9000 on gaming : I don't let nobody beat me at "jeopardy: the mission"
* MCP on people : I chmod 700 every aspect of my life
* Terminator on ending relationships : going down in a melting vat is the way to end things the cool way.
* D.A.R.Y.L on procreation : kids are only cool if they are robots.