I'd second the splitting of self into an analytic side and a emotional side being helpful as a short term coping mechanism, but I would caution against taking it too far. It is great as a short term buffer against letting your state get the better off you, but at the end of the day you're still depressed and viewing everything in some way through that lens of depression. Even if you're able to recognize the cognitive biases that introduces, your self esteem is still in the gutter and you still feel that cold depressed feeling. As far as other not-meds things that help, exercise, a regular schedule, good diet, and avoiding drugs (especially alcohol/narcotics--they can both make the depression worse and you're at a greatly increased risk for addiction) are relatively easy (not that anything is actually easy when you're depressed) things that help.

I'd second the 'if the meds aren't working, try new ones' advice. If all they've put you on is a cocktail of SSRIs, there are other options (MAOIs are effective, but a pain to deal with in terms of other medications, and are as a result less often proscribed) Also, if your depression has been periodically occurring for a long time and doesn't respond well to traditional medications, it might be worth looking at the symptoms of bipolar disorder to see if they fit. I know several people who were treated for unipolar depression for years before they were diagnosed with bipolar depression: and the medications and treatments are very different. Bipolar depression also is rather famous for not responding well to talk therapy. On the similar note of things that wouldn't respond to medication but are treatable in other ways: if you haven't been checked for hyper and hypo thyroidism, those can also cause depression-like symptoms that don't respond to traditional medication, and sleep disorders like apnea can make minor depression much worse.