I learned the following at healthyplace.com, a depression community, which was an interesting place you might want to check out. Regarding acupuncture:

Two randomized, controlled, clinical trials suggest that electroacupuncture may reduce symptoms of depression as effectively as amitryptiline, a tricyclic antidepressant medication. Electroacupuncture involves the application of a small electrical current through acupuncture needles. Other studies suggest that acupuncture may be effective for people with mild depression and for those with depression related to a chronic medical illness.