What alternative therapies are there to beat winter depression?

Exercise. Aerobic exercise, running, swimming, or biking, for 60 minutes a day, can be very effective for treating any depression.
Light. In addition to dr. Labarbera's answer, full spectrum light boxes can be very helpful.
Lite Rx Wellbutrun. Light therapy, wellbutrin, (bupropion) travel to a sunny region.
Light therapy. Winter depression may be seasonal affective disorder, which often responds to light therapy.