1 - Kharjo, the kitty. When he tells about the moon amulet... That breaks my heart.
Really close second: Teldryn Sero, best mercenary. Only thing is that I wish we could remove his helm.
3/4 - Cicero or Uthgerd the Unbroken (She reminds me of Brienne of Tarth, so..)
5 - Borgakh the Steel Heart.
[EDIT] Just to remember... I hate Serana. That b...
Yes, it does.
However, a Nightingale... I don't know how deep the individual associates with Nocturnal, but...
And still, one of the best things that you can do to overcome a bad a phase, a memory is to keep a distance from places that remember you the lost of something or someone.
Also, relate with other people is another good way to do it. In fact, better than the other one that I mentioned.
Even if these things don't "cure" a depression, it certainly helps.