The Essential Bibliography

Here are my favorite books for dealing with depression and anxiety:

The Feeling Good Handbook by David D. Burns, MD. It's jam-packed with cognitive behavioral techniques for dealing with depression, and can't be digested all at once, but is a good resource.
For people who have been through at least one course of therapy for depression, Undoing Depression: What Therapy Doesn't Teach You and Medication Can't Give You, by Richard O'Connor, Ph.D.

For anxiety in general, and specific anxiety disorders, "The Anxiety and Phobia Workbook" by Edmund J. Bourne, Ph.D.

For emotional distress and lack of coping skills, a book I really like, even though it was written especially for people with Borderline Personality Disorder: "The Dialectical Behavior Therapy Skills Workbook: Practical DBT Exercises for Learning Mindfulness, Interpersonal Effectiveness, Emotional Regulation & Distress Tolerance": by Matthew McKay, Ph.D., Jeffrey C. Wood, Psy.D., and Jeffrey Brantley, MD. I particularly like this book because of how accessible it is. I have been practicing some of the skills it suggests since I began reading it and using it in therapy.