1. "Just stay positive!"
People with depression are told all the time to just stay positive, or look at the great things in their life. What people without depression do not understand is that looking at the positive can actually make things worse. Many with depression know that their life is "perfect" and that they objectively have nothing to be negative about; however, that does not alleviate the persistent sense of pain and sadness. Being reminded of the positive makes them feel as if things will never get better, because no matter how many positive things there are to look to, they remain depressed.
The reason that this is the case is because depression is a serious mental illness, not just a case of the blues or a reaction to something negative occurring. Therefore, looking at the positive will have little to no impact in how a person is feeling. While you may have perfectly fine intentions in telling someone to stay positive, avoid it, as it shows you do not understand the pain they are in and will only make them feel more alone.
Alternative: Instead of saying "just stay positive," do the opposite. Let them know that their negative thoughts are alright, and that you will be there to help them through it. Be someone to them who will listen to the thoughts no one else wants to hear, be alright with having those "downer" conversations, because people with depression get tired of only mentioning the positive and pretending like everything is alright.