Here are some articles - mostly published in May - that I found particularly interesting: 

Angevaren, M., G. Aufdemkampe, et al. (2008). "Physical activity and enhanced fitness to improve cognitive function in older people without known cognitive impairment." Cochrane Database Syst Rev(2): CD005381.  [PubMed]  Exercise seems to improve cognitive function in this review of 11 studies looking at the effects of exercise on adults aged over 55.  It's less clear whether the exercise needs to be aerobic and less clear why some aspects of cognitive function improve while others don't.
Campbell, R., F. Starkey, et al. (2008). "An informal school-based peer-led intervention for smoking prevention in adolescence (ASSIST): a cluster randomised trial." Lancet 371(9624): 1595-602.  [PubMed]  This is a fascinating study showing real benefits from training influential kids to provide informal support to other kids to not smoke. 
Carey, B. (2008). Lotus Therapy. New York Times, New York Times Company.  [Link/Free Full Text]  You can click through the adverts to this surprisingly good New York Times article describing both the excitement over the potential of mindfulness methods and the tentativeness of the underlying research.
Christakis, N. A. and J. H. Fowler (2008). "The Collective Dynamics of Smoking in a Large Social Network." N Engl J Med 358(21): 2249-2258.  [Abstract/Full Text]  Good research showing the way that stopping smoking spreads out via networks of social links.  This team has shown somewhat similar patterns with weight gain in earlier research.
Dickens, C., L. McGowan, et al. (2008). "New Onset Depression Following Myocardial Infarction Predicts Cardiac Mortality." Psychosom Med 70(4): 450-455.  [Abstract/Full Text]  In this 8 year follow-up study, it was new onset depression in the year following a heart attack that increased subsequent mortality rather than depression already present pre-heart attack.
Eaton, W. W., H. Shao, et al. (2008). "Population-Based Study of First Onset and Chronicity in Major Depressive Disorder." Arch Gen Psychiatry 65(5): 513-520.  [Abstract/Full Text]  Important prospective population-based 23 year follow-up study of 3,481 adults showing that 50% of those who developed a first episode of depression had no further depressive episodes, 35% had at least one recurrence, and 15% didn't have a full year free of depression over the 23 years of the study.  Typical depressive episode length was 12 weeks.
Ekers, D., D. Richards, et al. (2008). "A meta-analysis of randomized trials of behavioural treatment of depression." Psychol Med 38(5): 611-23.  [PubMed]   I plan to write more about this study in a subsequent blog.  It is another in a line of research publications showing that Behavioural Activation seems as effective as full Cognitive Behavioural Therapy in treating depression.  It is easier to train therapists to provide BA than full CBT.
Farmer, A., A. Korszun, et al. (2008). "Medical disorders in people with recurrent depression." The British Journal of Psychiatry 192(5): 351-355.  [Abstract/Full Text]  Study showing considerably increased rates of a series of physical illnesses in people suffering as well from recurrent depression.
Forty, L., D. Smith, et al. (2008). "Clinical differences between bipolar and unipolar depression." The British Journal of Psychiatry 192(5): 388-389.  [Abstract/Full Text]  It is sometimes wrongly suggested that bipolar and unipolar depression present pretty much identically.  This studies authors looked at over 1,000 presentations of depression and highlighted that alerting features for bipolar depression include presence of psychosis, diurnal mood variation and hypersomnia during depressive episodes, and a greater number of shorter depressive episodes.  Correct diagnosis is important for selecting correct treatment.
Harvey, S. B., M. Wadsworth, et al. (2008). "Etiology of Chronic Fatigue Syndrome: Testing Popular Hypotheses Using a National Birth Cohort Study." Psychosom Med 70(4): 488-495.  [Abstract/Full Text]  Regular exercisers seem to be at more risk of developing chronic fatigue syndrome than their more sedentary colleagues.  Continuing to exercise in the face of progressively increasing fatigue may be particularly risky.
Hermans, D., H. Vandromme, et al. (2008). "Overgeneral autobiographical memory predicts diagnostic status in depression." Behav Res Ther 46(5): 668-77.  [PubMed]   Another research study showing the importance of overgeneral autobiographical memory in predicting a negative course for someone suffering from depression.  In this work memory variables were stronger predictors of persisting depression than other well known risk factors like depression severity, rumination, level of self-esteem and dysfunctional attitudes.