As someone who suffers from severe depression, games, at best, tends to just mask the feelings you might be having, or put your focus on it rather than your thoughts, so don't look to them as a form of "treatment". I'd say games with any sort of mission structure or strong storyline can be good though, as they can give a real sense of accomplishment when completing parts of it. MMOs can be good or bad for you depending on if you find a good guild/group to play with.
Visual Novels, like Fate/Stay Night, Tsukihime, 999, and Zero Escape are also pretty good. They all have pretty dark stories, but with bright protagonists that can be downright inspirational when you are feeling at your lowest and need a pep talk.
Overall though, I'd say put the games down and talk to someone if it's really bothering you. You'd get much more mileage out of that.
"Online gamers are the most ludicrously entitled beings since Caligula made his horse a senator, and at least the horse never said anything stupid."