It seems like giving half the people blackout curtains and then monitoring depression levels would be perfectly ethical, since it's expected to improve their life, if anything.
There are ways to set it up with an alternate/sham treatment for the control group (maybe some nice pictures to hang on the wall--something equally decorative but not light-blocking). It's not perfect because there's no way to make it fully blinded, but the results would still be a substantial improvement over the existing observational study discussed in the article here.
