Exercise is always #1 for me. Inevitably, when I start to feel especially depressed, I realize I haven't gone for a run in a few days.
I think I get into the same problem as you do, though - running too much and then having an injury. It's taken me over a year to get back to 10K endurance after a pulled tendon. I think the secret is to do a little bit every day, rather than a whole bunch all at once.
Otherwise exercise turns into a drug like any other, and the possibility of overdose is too real!