You are describing medication resistant depression. Support groups offer some help as you've mentioned having used such a group. Individual counseling also is something that can be helpful such as Cognitive Behavioral Therapy or Reality Therapy aka Choice Theory.
Other things that people also use are hypnosis, change in diet, exercise or natural supplementation. www.truehope.com
As a last resort some individuals consider ECT or Transcranial Magnetic Stimulation.
From Depression to Hope - Nlp and Hypnosis Mp3 to End Depression and Experience - MP3 Download by M.A., C.Ht., M.NLP - Personal Development Coach Michael J. Emery