Living alone in California I wasn't so much depressed as scared, since my future was wide open and I was living paycheck to paycheck, but I would walk down the PCH for 4 hours or so down to San Clamente and back and that always helped me think about life. I did the same after moving to Korea, wandering the streets late at night. Eventually I was able to move that wandering depressed and lonely energy towards girls, which quickly taught me all about anger, disappointment and sexism. Now I wish I could be depressed again instead of angry all the time.

Edit: skateboarding, music, dancing, racing cars, hapkido, flying, these things all helped to distract me as well.