Budgeting seems to be less depressing if I feel like I am not totally depriving myself. I have a monthly budget which includes savings. In addition to my regular savings, I try to always be saving for a special treat in the not-too-distant future (i.e. a trip, a special night out, a new outfit, etc.). This seems to keep my spirits up which makes it easier to stick to my budget.
I think the key is to not feel so deprived. Treat yourself to something small....a bouquet of flowers from the grocery store, a new shirt, a new lip gloss, a new plant, etc.