I agree there's usually not much I'm able to do to stop a depressive episode, so the key is to be very aware of my mood changes and seek help as early as possible. Having said that, in the past couple of years, I've kept a daily mood diary pretty much religiously, and also started daily exercise and meditation- things which help a little.
I also think trying to keep stress as low as possible is great advice, although sometimes it's really hard to achieve! For example, I have a chaotic and stressful family life (and always have done), which is one of my biggest triggers. However, they do their best and in reality I couldn't survive without their support, emotionally and financially, especially as because of my bipolar, I've only been able to handle part-time work recently.
Like Lanka says, I wouldn't suggest trying to 'push through' depression... I tried this a few years ago by starting a stressful job abroad and crashed spectacularly only about 4 months into it.
My psychiatrist gave me the advice to stick to a daily routine (sleep, eating, bathing etc.) even if it's the last thing I feel like, and I think it's useful. However, when depressed, I also tend to lean on family to help me through as I become pretty much non-functional in many respects.