One thing I will say about depression is it can make some books really fucking engaging. Kind of like how after you break up some songs or movies will hit you right in the gut. So here are the three books I read. Be careful though - these aren't feel good books.

1. Catcher in the Rye - Yeah, yeah you read it in high school and didn't get what the big deal is. Reread it when you are depressed, and marvel at how much you relate to Holden. That's why this book is a classic. It's the first book written about depression. Imagine reading this book in the early 60s, at time when you wouldn't have even heard the word depression, let alone be allowed to openly discuss it with people. This book would've been your only lifeline - the only thing out there that gives and sign that you aren't the only person to have ever felt as you do. That's why some readers used to try to track Salinger down - he was the only guy that understood them. If you get this book you get it. And if you're depressed you're really gonna get it.
   
2. The Information (by Martin Amis) - Found this in some hostel while I was traveling around Europe alone depressed and more than a little para-suicidal. This book is basically about a writer having a nervous breakdown. Very poignant stuff if you to are in the middle of a breakdown too. Very dark. Like CITR you are going to see more than a little of yourself in the antagonist.
3. American Pastoral (by Philip Roth) - Just really well written and gut wrenching. Like the other two books it features a character that has completely gone of the rails. Movie sucks.