There’s been some good discussion on the ZapRap Forums about the use of B12 shots in treating severe depression. Some have found the shots to be helpful when other treatments (including meds and shock) have failed.
I have zero experience with the shots personally, although my grandmother swore by them. (Not for depression specifically, just as a “feel better, more energy” boost.) Her doctor, as I recall, went along with it grudgingly, and members of my family tolerated it, but thought it was snake oil.
I don’t repost discussions from inside the forums (I’ll leave that to an asshole who does it for sport, because he enjoys mocking people in pain). But if you’re interested in the topic, you might want to check it out and talk to those who have found the shots beneficial. (You must register as a member to read/post on the boards. We’re very private these days.) Apparently you can order the injections online (which I’m not sure I’m comfortable with) and give them to yourself.