Right from the start I want to make something clear:
Certain people have chemical disorders in their brains, which leads to some extreme forms of depression. These people should consult their doctors, so they can get the medications they need. This node is only intended for people with (cough) "normal" forms of depression.
It can start very harmless. You just got a "F" in a test, for instance. Or maybe your hard drive burnt out, frying your 1 GB MP3 collection and you forgot to make a backup. Shit happens. But after a while, things seem to stack up. You become more and more pessimistic about life in general. Thoughts like "Whats the point" or "It doesn't matter anyway" or even "I suck at everything I do" flip through your mind. Personally, when this started happening to me, I even WANTED it to happen. As weird as it sounds, the first stages of depression actually, in some weird way, feel good. Maybe because of the feeling that it all doesn't matter anyway, so why bother? But mostly it's that sense of feeling sorry for yourself that drags you deeper.
Sooner or later, though, things will most definetly get worse. Thats when you turn apathetic. You couldn't care less about anything, your grades drop dead, you listen to grunge (well, in my case anyway), you'll probably misuse drugs...lots of changes there. In the end, some people will even commit suicide. I myself was close to it once.
Anyway, you can control your emotions if you are aware of them. There's nothing wrong with feeling sorry for yourself, but you have to watch out that you don't feel like that EVERY day. Personally, I found one thing that pulled me out of my apathy:
Hope, and a healthy portion of "So what?" mentality. I haven't been in a depressive mood that lasted longer than a day in at least a year. Think differently about life. If today wasn't so great, what about tomorrow? Even thinking about my yummy breakfast cereal the next morning gives me a small sense of hope. Sure, you'll have days, but in the end things usually turn out alright. Just keep hoping that tomorrow will bring something better than today. That helps a lot. Then of course the "So what?" mentality: As long as you don't overdo it and become careless, thinking "So what?" about things also helps. "I just broke my new Limp Bizkit CD? I'll just buy a new one or download the MP3s" for example. Last, but not least, masturbation helps to. Seriously, the "feel good" feeling afterwards isn't just short-term, it's scientifically proven that it relieves stress and helps the chemical balance in your brain.
What I'm trying to say here is that feeling down is perfectly normal every once in a while, but make sure it doesn't become a constant occurence. Think positive.