Some of this stuff worked for me:

• Reading. It combines self-improvement and it's fun ( if you like reading...) I've read almost all books that Lukeprog mentioned in his post "How to be happy" but I found them to be not very helpful, but that's probably unusual. Maybe you should try reading some Cognitive Behavioral Therapy books like "Feeling Good" by David Burns. It's weird but reading the Sequences made me much happier. I guess reading philosophy and literature was also somewhat helpful, but I don't want to make the mistake of other-optimizing. Oh, and reading autobiographies of inspiring people ( e.g. Bertrand Russell) was really great.

• Medication. Although antidepressants like SSRIs are barely better than placebos, you could give them another try. Or, cuz it's cheap, safe and without prescription you could try St.John's worth. It seemed to work for me. Probably just placebo, who knows.

• Diet. Eating too much sugar or bread makes me depressed. Eating not enough fat makes me anxious, etc. Just try some things. It doesn't cost anything and, at least for me, it's fun to experiment.

• Exercise. Weight lifting and short sprints in particular.

• Cold showers.