Since most of the time when I'm depressed it usually has to do with relationships, I tend to find myself listening to music along the lines of "Iris" by the Goo Goo Dolls.
Goo Goo Dolls
Savage Garden ("A Thousand Words" and "Gunning Down Romance")
All About Eve ("Strangeway", "Tuesday's Child", and "December")
Monaco ("What Do You Want From Me?")
New Order
Depeche Mode (that's a big one)
Gin Blossoms
Garbage (especially "Only Happy When It Rains")
Angie Aparo ("Spaceship", "Cry", and "Wonderland")
some Grunge and Post-Grunge ("Once", "State Of Love And Trust", and "Daughter" by Pearl Jam; "Creep", "Big Empty", and "Trippin' In A Hole In A Paper Heart" by Stone Temple Pilots, "Come As You Are" by Nirvana, "Plowed" by Sponge, "Comedown", "Everything Zen", "Machinehead", and "Little Things" by Bush, "Breathe" by Nickelback, etc.)
'mellower' Industrial songs ("What Do I Have To Do?" by Stabbing Westward, "We're In This Together" by Nine Inch Nails, "Quite Unusual" by Front 242, "Goodbye" by Circle Of Dust, "Under My Feet" by Celldweller, "Worlock" by Skinny Puppy, etc.)
Some of those make me feel better because they're upbeat, sometimes they just sort of console without making me feel any better, but I could still listen to these when I'm not depressed and get the adrenaline flowing.