"They used to tell me I was building a dream With peace and glory ahead Why should I be standing in line Just waiting for bread?"
— E.Y. Harburg, "Brother, Can You Spare a Dime?"
The Great Depression / The Dirty Thirties: Home to dust bowl farmers, reedy-voiced folk singers and rail-riding hobos. Life pretty much sucks unless you're lucky enough to be a rich socialite, in which case you can expect to be involved in a wacky screwball comedy which may or may not involve either three short, bumbling men named Larry, Moe and Curly, or two fast-talkers named Groucho and Chico and their mute accomplice Harpo (as the Depression drove prices plummeting through the floor, people with money suddenly found their cash increasing in value). Or if you're female, you could ditch the dust bowl and head off to Hollywood, become an actress, and wear long, sexy gowns on premiere night, showing off some tanned skin.
Otherwise, you would be scraping to survive, as Steinbeck wrote in The Grapes of Wrath and Of Mice and Men. For some, it's a time to run wild to take what you want against the fat cats who exploited the people as one of the Public Enemies like John Dillinger or the bank robbing couple Bonnie and Clyde. Others found more constructive paths such as folk singer Woody Guthrie who rode the rails Bound For Glory singing as the voice of the underprivileged.
Against this, President Herbert Hoover found himself completely over his head, refusing to accept the reality of how bad the times were, while blindly mouthing absurd statements like "Prosperity is just around the corner." He was replaced by Franklin D. Roosevelt who did his best to pull America out of the economic ruin with his New Deal.note Or at least, that's the story FDR wanted everyone to believe. What actually happened is a bit more complicated than "Hoover Bad, FDR Good." The Depression was the culmination of a decade's worth of problems that Hoover was just unlucky enough to have boil over during his term, and many of the actions he took in the second half of his presidency, such as raising corporate taxes and commissioning public works projects, resemble a proto-New Deal in hindsight. In addition, the New Deal was, at best, largely a stopgap measure to prevent a total collapse rather than the main contributor to America's economic recovery; that would be the massive surge in military spending that accompanied World War II, if you're a Keynesian, or the surge in innovative new technologies from private sources, combined with a craterized postwar Europe eager for new products but lacking the infrastructure to make on their own, if you are not.
In addition, you could be a globe-hopping Adventurer Archaeologist in foreign parts having adventures with the natives while fighting the Nazis who are searching for any artifact that would give them the edge in a coming war.
If you're in Europe, chances are you are living in the Nazi or some other fascist version of Ruritania, trying to forget your troubles in the Cabaret while the Black Shirt goons become more bolder and brutal outside as your country slides into a fascist hell. As for the rest of the world, the communists seem to be the greater threat, until Those Wacky Nazis start getting greedy enough to betray their true ambitions (and for those already under communism, like say, some parts of the USSR, well, they're about to learn the wonders of cannibalism, or worse, end up in The Gulag for thinking unhappy thoughts about Stalin). At that the Western powers slowly begin to realize that appeasing them is making them worse and they have to stand up to them.
Period lasts from The Wall Street Crash of 1929 up until the beginning of World War II. Note that in Real Life there were several sub-periods; the Hoover years, the New Deal years up to 1937, a second recession and a subsequent 1939-41 recovery that was just picking up steam when the war build-up started. Also, large European countries experienced the worst, nightmarish part of the Depression during 1930-1932, with unemployment and widespread poverty, but recovered more or less in the next few years - so for a German living under the Nazis 1938 was a prosperous year, not part of a crisis.
It should also be noted that the mass suicides of financial professionals (jumping from office buildings or hanging) of 1929 are a long-standing Urban Legend — only about twenty people killed themselves immediately after the Crash and about one hundred in all. 23,000 people did kill themselves in the first year though.
Also see: The Roaring Twenties, The Forties, The Fifties, The Sixties, The Seventies, The Eighties, The Nineties, Turn of the Millennium, and The New Tens for more decade nostalgia.
The Musical: Many of Hollywood's films tended to be musical and upbeat, because it wasn't called "The Great Depression" for nothing, people needed to be cheered up. Because of this, the motion picture industry was one of a small few disposal income industries that not only survived but thrived in the Great Depression.
Perpetual Poverty - subversion. If the 1930-1941 decade hit the US worst despite the attempted relief of the New Deal, European countries fared better and they regard the year 1933 as the "official" end of the Depression and the 1933-1939 years as a prosperousnote relatively speaking - the working class living conditions might vary from crappy in George Orwell's Britain to very comfortable in Nazi Germany period in terms of money, construction, public works, technology and arts.
Sexy Backless Outfit: The trend for women exposing their backs on bias-cut and halter-neck long gowns started during this decade.
Zipperiffic: the decade made zippers more innovative in many things like bags and clothes.
Works that are set in this time period:
Anime and Manga
Axis Powers Hetalia had a strip about the Great Depression, explaining it in a very simple way; America got sick and spread it to the other European countries. In the end, however, Russia was unaffected due to the fact that Russia was socialist, America, England, and France were helped out by their colonies, but Germany, Italy, and Japan, not having as much colonies, got the shorter end of the stick and suffered throughout.
In actual history, Germany probably would have still suffered, Depression or no Depression, because of the WWI reparations that the nation was being forced to pay.
In fact, part of Germany's motivation behind becoming an Axis Power was mentioned as a combination of both the Depression and Versailles reparations.
Baccano!: At least, the anime and much of the light novels.
Gold Diggers of 1933, made and set in the year of its title. Its Busby Berkeley Numbers include "We're In The Money," where the Gold Diggers sing that they "never see a headline 'bout a breadline today," and "Remember My Forgotten Man," which obviously was inspired by "Brother, Can You Spare a Dime?"
Any episode of Mad Men in which Don Draper's childhood is important (there are a lot of them) will involve a flashback to the Thirties.
The Doctor Who two-parter, "Daleks in Manhattan/Evolution of the Daleks," took place in Depression-era New York.
The Star Trek: The Original Series episode "The City on the Edge of Forever" has Kirk and Spock traveling through time to the Great Depression while pursuing a drugged and insane McCoy who has somehow altered the timeline.
The final episode of The Strangerhood indicates Tovar was taken from Wall Street just around this time. His Evil Twin, ignorant of the coming depression, ends up going back with plans to make millions on asbestos.
Rule of Rose is set in 1930, the time of the Crash, possibly explaining why the events in the story didn't get any outside attention; the authorities were stretched too thin to worry about a few alleged disappearances.
Telltale's Back to the Future game mostly takes place in the year 1931, with a few segments in 1986.