Effexor works good for me.
Talk to your doctor. Many ADs take a few weeks to start working, and it make take several trials with different drugs to find what works for you if you go that route.
Talking to a therapist or keeping a journal may also help.
Exercise works well for me, too. Even with the Effexor, sometimes I get in a mood that I can't shake. Usually a good 4-6 mile run will take care of it, though.
But whatever the case, talk to a doctor. There's no reason to just suffer with it. Exercise, talking, writing, drugs -- everyone is different. What works for other people may not work for you.