I overcame depression a few years ago and have been meaning to write about how I did it, but honestly, the current me is so different from the old me, that I don't even remember how being depressed felt.
I do remember some of the things that got me out of the depression:
Coming independently to the insight that I should "Avoid Misinterpreting my Emotions". One day, I was sitting there thinking the same old depressed thoughts I'd usually thought. Something like "what's the purpose of doing anything." But, I realized that when those words went through my head that day, I didn't feel depressed thinking them. Then, I realized that whatever words were going through my head were not the cause of my emotions. In general, it's true that we can unlike our emotions from our thoughts. By doing this we can optimize feeling better and resolving whatever epistemic issue you think is the cause of your emotions separately.
Discovering LW helped in a lot of ways.
Doing lots of mind mapping / writing therapy, using GTD for managing stress/productivity, and to a lesser extent CBT.
EDIT: Also, getting out of high-school.
For a site extremely focused on fixing bad thinking patterns, I've noticed a bizarre lack of discussion here. Considering the high correlation between intelligence and mental illness, you'd think it would be a bigger topic.
I personally suffer from Generalized Anxiety Disorder and a very tame panic disorder. Most of this is focused on financial and academic things, but I will also get panicky about social interaction, responsibilities, and things that happened in the past that seriously shouldn't bother me. I have an almost amusing response to anxiety that is basically my brain panicking and telling me to go hide under my desk.
I know lukeprog and Alicorn managed to fight off a good deal of their issues in this area and wrote up how, but I don't think enough has been done. They mostly dealt with depression. What about rational schizophrenics and phobics and bipolar people? It's difficult to find anxiety advice that goes beyond "do yoga while watching the sunrise!" Pop psych isn't very helpful. I think LessWrong could be. What's mental illness but a wrongness in the head?
Mental illness seems to be worse to intelligent people than your typical biases, honestly. Hiding under my desk is even less useful than, say, appealing to authority during an argument. At least the latter has the potential to be useful. I know it's limiting me, and starting cycles of avoidance, and so much more. And my mental illness isn't even that bad! Trying to be rational and successful when schizophrenic sounds like a Sisyphusian nightmare.
I'm not fighting my difficulties nearly well enough to feel qualified to author my own posts. Hearing from people who are managing is more likely to help. If nothing else, maybe a Rational Support Group would be a lot of fun.