When I am too depressed (it happens rarely, once in 3 - 5 years), I am listening and watching "The Wall". Though it looks depressive itself, it helps. And it is interesting how "The Wall" discloses new meanings / edges / layers each time I am watching it. I suppose both anti-depressive and artistic effects are reduced with frequent watching.
If depression is not that deep then New Age helps me - Karunesh, Oliver Shanti, Sacred Spirit.