Another good resource is the classic "Feeling Good" [1], which describes basic cognitive behavioral therapy in a self-help format. It's old but good and has been validated in clinical trials.
BTW, there is another book by the same author(David Burns) -- "When Panic Attacks" [1]. It is focused on anxiety, not depression, but these two conditions often go hand in hand.
After years of bouncing around therapists, I found CBT. It fit my personality (obsessive, perfectionist, anxious) so well and has altered, for the better, how I approach every thought.
[1] http://www.amazon.com/gp/aw/d/0380810336?pc_redir=1402628516...