If you haven't had results from medication, there are a couple of new drugs on the market now that are indicated for treatment resistant depression.
There are also a few antipsychotic-like drugs that are used at low doses for antidepressant effects along with other antidepressants, but I'm not sure if the newer ones are indicated for depression, or if the newer ones are just reformulations of existing medications. It looks like there's a newer olanzapine combination on the market.