I agree that it does work because being active raises serotonin, but it also raises your dopomine and your nitric oxide levels. The uncanny part of the three is that they also have been known to increase weight loss. I am Bi-Polar/Manic Depressive and I know that being active makes a huge difference in my mood. Another thing that makes a big difference is writing. I have a 'journal' and a blog. It's a good way to organize your thoughts and feelings so that you can really see what you are thinking and feeling and soemtimes helps get to the bottom of what is causing it.
As crappy as it is sometimes, cleaning your house can help too. It will give you a good sense of accomplishment, and it gets you busy.

Hi-

I was diagnosed with depression over two years ago. While I definitely think that my medication literally saved my life, both my therapist and my psychiatrist encouraged me to get exercise as a way to relieve stress and clear my head. IT WORKS! Being active raises serotonin levels, the "happy hormone" and can actually work in your favor, giving you what people call the "runner's high." If you can't run, then walk. Slap on an ipod and get moving, it helps me so much!