I just found a really great site online that has a complete e-book on overcoming depression. I just started reading it and it's really quite good with some concrete self-help techniques. Many of these same techniques are used in therapy so for people who can't afford therapy or can't go for some reason would find this helpful.
It's at www.healthyplace.com and it's called Good Mood, The New Psychology: Overcoming Depression by J. Simon