Marjorie Wallace of the mental health charity SANE announced on the radio this morning that her organisation was about to organise the Black Dog campaign. She also mentioned Winston Churchill, as he popularised the term black dog as a metaphor for depression.
Churchill was not the first person to use the term 'black dog', however. Samuel Johnson referred to it when discussing his own melancholia; in a letter to Mrs Thrale in 1783 he writes "When I rise my breakfast is solitary, the black dog waits to share it, from breakfast to dinner he continues barking ..." Mrs Thrale used it even earlier, saying in a letter to Johnson in 1776 said her husband '... scorns the black dog now'. Johnson also used the term when writing to Boswell: 'What will you do to keep away the black dog that worries you at home?'
In Brewer's Phrase and Fable under the 'a black dog has walked all over him' entry, we are told that the devil was frequently represented as a black dog, and Horace said that the sight of a black dog with her pups was an unlucky omen. An interesting document on the website of the Australian Black Dog Institute (in pdf format here) says that this is a misreading of Horace, and that the Latin text does not mention a black dog, but a dark companion. This article is a very thorough and interesting history of the term.