There is a whole Depression Condition Center on here that has a ton of helpful resources: www.sparkpeople.com/resource/health_condit
And, exercise has been shown to be effective in treating depression. For some people, it is more effective than medication. Definitely give that a try! Also, personally, I would give therapy another shot, especially if you are dealing with additional issues at the moment. There are a lot of good therapists out there (and unfortunately a lot of bad ones). It's really about finding a good match.