The purpose of this study is to determine whether methylphenidate is an effective treatment for depression and to document the safety and tolerability of methylphenidate in combination with an Selective Serotonin Reuptake Inhibitor (SSRI) in SSRI treated, terminally ill, hospice and palliative care cancer patients. The investigators hypothesize that depressed hospice and palliative care patients will be more likely to have a 50% reduction in scores on a clinical measure of depression after treatment with Methylphenidate plus an SSRI compared to those patients who are taking a placebo plus an SSRI.