Listen, Not Hear
Listening is understanding what they are saying. It is devoid of opinion and it is devoid of judgment. Don't rush to speak or impose your idea on a depressed person; you can irritate them.
Empathy
Understand their point of view, try to feel what they are feeling. Share their mind with yours and reflect.
Extend Help
When possible, refer them to a professional. Assure them that depression can be treated in a systematic way.
Acceptance and Honesty
Accept the person as she/he is. Especially if it is a friend who is suffering. Be honest about how you can support them and talk with them sincerely.
Alternate Perspectives
They may often evaluate the world in destructive ways. Think from their point of view and offer objective perspectives to highlight an experience in a less negative way.
Be There
Assure your depressed friend that you are there for them. Sometimes just the promise and knowledge that someone is there is comforting enough.
Help them Get Socialized
Use polite tactic, at the right time, to get them involved in social activities but avoid depressive places which can do more harm than good.
Be Realistic in Your Encouragement
Don't give unrealistic hope to your friend to encourage them; they will instantly realize it and reject other approaches.
Protect them from Alcohol or Drug Abuse
When most attempts fail, depressed people tend to recourse to drugs or alcohol. This is a recipe for disaster, do your best to prevent that.