This didn't exactly cheer myself up, but a while ago, if I got depressed, I would sit in the basement, alone, and watch Eva for a long while. Something about connecting to the characters........it didn't really help.
Anyway, to cheer myself up, nowadays, I'll sit in the bathroom, and think.
I'll have the occasional chat with myself, but that's really it.
If that doesn't work, then I'll simply play a video game until I completely forget about being depressed; usually it's either Galaxy or Shiren.
Oh, and I almost forgot: talk to Oreo, my sister's hamster.