I am reading "The Mindful Way Through Depression", by Mark Williams, John Teasdale, Zindal Segal and Jon Kabbat-Zinn. This is not pop Cure-Yourself-InOne Week stuff, it's age-old spiritual and meditative work, not religious but applicable to all us, no matter what our faith (or lack thereof). There is a CD that comes with it.
It can be used for depression, but also just for our daily anxiety and life difficulties. It emphasizes living in the moment with lovingkindness, gratitude, forebearing acceptance and joy. Really worth reading. A practical book for how we can better live.