"Keep the faith!"
Ugh. Never ever ever ever say this to a depressed Christian. This will drive them as nuts as "Chin up and smile!" will to a secular person. It just comes across as a platitude and a sign that you don't really care for them.
"God is in control!"
No, really? I thought He was on a lunch break! Trust me, many depressed Christians are well aware of God's sovereignty, or at least some forms of it. They're aware that God is in control - the problem is at the moment they feel like their life is not. They may feel a disconnect between the sovereignty of God and the circumstances in their life. It might be best, then, to try to show them a connection, or to try to show how God is still there in their life.
"Maybe you're not really saved."
I've never had anyone tell me this personally, but I've heard or read Christian counselors suggest this. All I can say is that we shouldn't judge the status of a person's salvation on the fact they're having a bad day or even a bad month. Christians are not meant to be superficially happy, and even the greatest theologians throughout history (Martin Luther, John Wesley, Jonathan Edwards, Charles Spurgeon, etc.) had bouts of depression throughout their lives, either continuously or at certain points.
The worst thing a person can do to someone who is depressed is to suggest they aren't really saved. Now not only is the person depressed regarding their life circumstances, but now they have to worry on whether or not their salvation is sincere.