This information is inspired by a Beyond Blue pamphlet.
If you know someone who is depressed, here are some do's and don't to help them.
Spend time talking about their experiences and how they feel about it. Listen to what they are trying to express. They may not be looking for advice, and having someone just listen and understand may be all they need. Maintain eye contact and sit with open body language. Be relaxed. Use open-ended questions. If the conversation becomes awkward and they get angry, stay calm, and back down from any opinion that might be antagonistic or insensitive. Depression is often suppressed anger arising from feeling oppressed by a problem.
Tell you have noticed a change in their behaviour. For example "I notice you aren't as enthusiastic about your passions anymore. What's let the air out of your balloon?"
Let them know you aren't going to judge them for what they tell you.
If you are worried that they are in danger (suicidal, likely to take dangerous risks, stopped doing whats needed to maintain basic survival) suggest seeing a doctor, counsellor or other mental health professional. If they are unlikely to achieve it through their own efforts, assist them and check up on progress.
Talk openly about depression and help them find information relating to depression or whatever is causing the depression.
Encourage them to socialise (in whatever capacity suits them), eat well and exercise (in whatever capacity they will enjoy).
Keep in contact and encourage their nearest and dearest (good friends and healthy family) to do the same thing.
Often just spending the time shows someone cares and can pick up their mood.
Take care of yourself. If you fall apart yourself you won't be able to help anyone!
Don't - It's unhelpful to:
Pressure them to "snap out of it", "get their act together" or "cheer up" (negation).
Avoid them or ostracize them.
Tell them to "get out more" "get a life" or stay busy (denial).
Encourage them to party hard or get very intoxicated on alcohol and drugs to mask how they feel.
Assume the problem will just vanish of it's own volition.
Added points (Dawn's opinions):
Depression is often caused as a reaction to something that makes them feel unexpressed anger. If they are in a situation that is oppressive in nature, feel unloved or trapped or like their personal potential is being undercut, they may not know themselves why they are depressed if they have denied their anger. Help them pinpoint the external factors that are depressing them. In cases (the majority) where the external problem isn't satisfactorally dealt with, medication will have little long term benefit. In rare instantances, it stems from a biological problem, and even then medication is still a band-aid solution.