There are many lists online to help us all prevent lodging our feet in our mouths - here are some:
From
Trapped MindsFrom
alt.depressionFrom
DBT Self HelpVariations on "Think of the starving children in Africa!" appeared in the
metaquotes thread. Sometimes people do need a shot of perspective - but that won't work on a mentally ill person, it will only make us feel worse. Also, it's important not to compare your own experiences of sadness or crisis with depression, which is a whoooole other ball game.
All of that said - dealing with depression, or mental illness of any kind, can be terribly difficult and frustrating. The people around me have often displayed the patience of saints. I think the single most important thing you can do for someone you think may have depression is to get them to a professional. You can do a huge amount to support a mentally ill person, but you almost certainly can't make them better.