Don't get sad - get angry! Angry ot someone, angry at the world, or angry at yourself, I believe it's better to be angry, however painful that may be, than wallowing in pity and crying your eyes out. Or, if you're a pacifist, just do something that will distract you greatly, or talk with a funny person. After a good laugh, everything will look a bit less painful. Even when you think everything is at it's worst, there's always a "ray of hope", and such stuff.
Also, I don't believe in medications. Isn't depression an illnes of the soul? What can cure the soul? I've had times, months, years, when I didn't want to go out of bed, I didn't want to go out on the streets, I didn't want to see anyone at all. But if a human can't get over this on his own, how can we be called the "rulers" of the planet?