Last time I went to my therapist, she recommended I try out a CD called "Mindfulness Skills: Volume 1" by Dr Russ Harris.
I went down to the university library and hired it out, put it on my iPod and it has been a life saver ever since.
It's an Australian CD by an Australian Psychologist, so I'm not sure of its availability in other countries, but I'm sure there is other works on the practice of mindfulness for wherever you're from.
Mindfulness is a type of meditation which helps you to experience what is happening at any given point in time and helps you identify and connect with the world around you. It helps me with being able to control my thoughts and observe the effect they have on me. I think being able to observe your own thought patterns is a great benefit when dealing with depression and anxiety, as it is these thoughts which influence how we react in certain situations.
I strongly recommend seeking out some form of mindfulness meditation CD, it just helped me calm down during a panic attack. The first thing I do now when I'm starting to panic is put this on and it really helps me focus and get things into perspective.
Not trying to advertise anything here, just sharing my experience with Mindfulness.
Cheers guys, hope you find what you're looking for.