set goals. minor, major, long-term, short-term... it doesn't matter. talk to depressed people and ask them if they have any goals in life. usually they don't.
for me, an easy way to get depressed is to look back instead of forward.
another thing i do if i am feeling down is positive affirmations. self-talk, if you will... Stuart Smalley style. it's cheesy but it works. you can talk to your subconscious like a little kid, and after a while you will start believing the things you tell yourself.
edit: oh ya, one more thing to break out of a funk... help people. concentrate on others, get out of your own head for a while. volunteer, contribute to your community... get out and do something... helping other people is a path to happiness especially when you are doing it and asking for nothing in return.
lemme see if i can find this Chinese proverb i like........
If you want to be happy for an hour, take a nap;
if you want to be happy for a day, go fishing;
if you want to be happy for a week, take a vacation;
if you want to be happy for a month, get married;
if you want to be happy for a year, inherit a fortune;
if you want to be happy for the rest of your life, help other people.