Ditto to a lot of what everyone else has said. I also would recommend reading "The Mood Cure". I've found it very helpful in dealing with depression and anxiety (also going to therapy). I've made more strides in the last year with a combination of talk therapy, amino acid supplementation, and primal eating than in the past 9 years, since I was diagnosed with depression as a teenager.
Primal blog on depression/anxiety
"Pass the damn goat leg." - Paleobird