It is most tempting, when you find out someone is depressed, to attempt to immediately fix the problem. However, until the depressed person has given you permission to be their therapist (as a friend or professional), the following responses are more likely to help. Acknowledge my depression for what it is (No 'it's just a phase') and give permission for them to feel depressed (No 'but why should you be sad?')
Here is the list from contributors to a.s.d. and Pendulum:
"I love you!" (if you mean it)
"You're not alone in this"
“I'm not going to leave/abandon you"
"Do you want a hug?"
"You are important to me."
"If you need a friend..." (and mean it)
"You look great !” (say it and mean it)
"It will pass, we can ride it out together."
"When all this is over, I'll still be here (if you mean it) and so will you."
"Don't say anything, just hold my hand and listen while I cry."
"All I want to do know is give you a hug and a shoulder to cry on."
"Hey, you're not crazy!"
"May the strength of the past reflect in your future."
"God does not play dice with the universe." - A. Einstein
"A miracle is simply a do-it-yourself project."- S. Leek
"We are not primarily on earth to see through one another, but to see one another through"-(from someone's SIG)
"If the human brain were simple enough to understand, we'd be too simple to understand it."-a codeveloper of Prozac, quoted from "Listening to Prozac"
"You have so many extraordinary gifts-how can you expect to live an ordinary life?" - from the movie "Little Women" (Marmee to Jo)
"I understand your pain and I empathize"
"I'm sorry you're in so much pain. I am not going to leave you. I am going to take care of myself so you don't need to worry that your pain might hurt me."
"I listen to you talk about it, and I can't imagine what it's like for you. I just can't imagine how hard it must be."
"I can't really fully understand what you are feeling, but I can offer my compassion."
"Depression is like a very dark storm... you are in the middle of the storm now and can't see your way out... but it will get better. One day you will be able to turn around and see that the storm has passed..."
"I'm sorry you're having to go through this, I care about you and care that you are hurting.
"Don't torture yourself with your feelings, I'm here to listen."
"I'll be your friend no matter what so it's okay to talk about your feelings-it'll make you feel better."
"I'll be with you at all times."
"With friends, joy is multiplied and sorrow divided."
"I cannot understand the pain you're in, I cannot feel it. But hold onto my hand while you walk through this storm, and I'll do my very very best to keep you from slipping away."
"I love you unconditionally and will always be here for you."
"Keep kicking against the darkness until it bleeds daylight." -Preacher
"I'm never going to say 'I know how you feel' unless I truly do, but if I can do anything to help, I will."