What are some good things to do besides listening to music that can help with depression?

Keep talking . Talking things out is best. Sitting by yourself and thinking can be very depressing. You must also keep very active with appropriate physical activity - especially with good supportive friends. Having a meaningful job or volunteer work is also important. "life sucks and then we die!" in the mean time we should be as useful as possible with the gifts we have been given.
Depression. Depression is very common and can get worse in the winter as the days are shorter. Listening to soothing music is good, but if your depression continues, you may want to get some activity (to get your endorphins jumping); take a nice long bath; meditate; read; get a massage.... Although these are soothing activities, depression may still be present. In that case, you may need to talk to a therapis.