I usually stay out of threads like this one, but I'm quite concerned about the "drugs and alcohol" suggestions. I understand the idea of numbing pain using drugs and alcohol, but there is a significant risk that drugs (depending on the drug) and alcohol could seriously exacerbate the depression. Also, alcohol acts as a disinhibiter, that is it reduces the capacity to appropriately inhibit self destructive behavior.
How one copes with depression must be determined by the type and severity of depression.
A loss (death of a loved one, broken relationship) can often cause an appropriate feeling of depression, which softens with time. Severe feelings of depression without some external referent is of much more concern.
Most importantly, the severity of the intensity, and duration of the depression, are key variables as to how to handle the bad patch. Feelings of hopelessness and helplessness, changes in sleeping and eating patterns, suicidal ideation or PLANNING, loss of energy, inability to enjoy things that used to be enjoyable...which last more than 2-3 weeks really require some professional attention. Especially thinking about suicide, or thinking about how to kill oneself require immediate attention.
I'm sorry if it seems that I am pushing seeking professional attention. I'm not saying that anyone needs to rush out to a shrink because one is down in the dumps after a relationship breakup, or some other significant loss. Not all depression is "abnormal". It is, as mentioned above, the severity and duration of the depression that should be the deciding factor.
I hope those of you who are feeling really crappy ( a technical shrink term) right now feel better soon. I'm not sure drugs and alcohol is the answer, though.