The Mindful Way through Depression This book is a fantastic melding of mindfulness practice and depression treatment. The authors are pioneers in treating depression through mindfulness and preventing relapse using mindfulness meditation techniques. The hardback
version of this book also comes with an audio CD with guided practices included. It's a great value.

The Feeling Good Handbook This is the standard "self-help" book and it's worth it's weight in gold for the help it can provide mild depression and anxiety. The worksheets contained within are valuable resources to helping you keep track of your thought processes and emotions.