More info - in my usually wordy style
First, excellent posts from both blitz and jwmorrice. Read them both again.
I stronly suggest starting with a full physical. Make sure there is nothing physicall wrong that could be keeping you "down" - like anemia. Second, check your diet, make sure you are eating balanced and well proportioned amounts, from all the food groups, escpecially fresh fruits. Get plenty of sleep.
Once these are checked and you still don't feel better, ask for a consult. There are specific crietira for deciding whether you are actually suffering a clinical depression or anxiety disorder. Even if you are, there may be enough other things going on in your life that are keeping things overwhelming for you. Talk to a counsellor of some sort -- ask for recommendations from friends, associates, or other professionals you trust. See if there is an EAP programme at work.
A little reframing, new ways of interpretting situations or help deciphering what you can and cannot control in your life may just alleviate the sense of being dragged under. You might also give consideration to a group approach if you are dealing with issues that seem to bog many down - addictions, adult children, assault, weight, etc. Check community centres, the Y, religious organizations, or call a helpline for a referral (see the front pages of the phonebook)
Talk to your physician, perhaps a psychiatrist, and the counsellor/therapist/coach about adding meds as a conjunctive therapeutic approach (that means you use the meds together with counselling). Then discuss which ones might be appropriate. It will take a number of tries, likely, if you are truly suffering profound clinical depression, which, just based on your communications, is unlikely. However, if you have a long term history that includes these types of episodes, meds might be appropriate. Make sure you tell your prescribing physician exactly what you put into your body - don't hold back, not telling them may cause severe interaction effects that will leave with more than just a depression to worry about.
In addition, a differential diagnosis must be made between depression (uni-polar) and bi-polar. The inclusion of paranoid or psychotic symptoms might indicate a different problem. Try not to "hide" symptoms about which you are embarrassed, or you might end up on the wrong meds. The physicians are not there to judge, only to diagnose and help decide if meds are an appropriate part of a therapeutic plan. But remember, psychiatrists are physicians and they MUST "diagnose" you and then treat medically - that is the model from which they work. Other mental health disciplines will follow different models, approaches, and practices.
SSRIs will be the first line of meds chosen. There is really no way to predict which will be effective. None of them may be and you may have some strage side effects. You will definitely have dry mouth, changes in appetite, and possibly sleep patterns. These should disappear in about 2 weeks.
If they are not effective, they will likely then move to the newer line which works in the dopamine system - Wellbutrin (also known as zyban). It could take a long time to find the right combination of diet, exercise, meds, counselling, social system and other lifestyle efforts to effectively deal with the problem on a long term basis. Be patient and allow that "failure" will be part of the process.
You must do what is best for you in consultation with real qualified professionals. Its good to seek advice here, but you don't really know who any of us are.
There are pro and anti meds people. Some are rightly concerned about the overuse of meds as a quick fix to problems that are really not severe or meeting the criteria. However, if you are one of those who truly suffer genetically based chemical imbalances, no amount of therapy in the world will stop episodes from happening. And don't let people who don't really know stick in their opinions on what is the best course of action for you.
Most people misinterpret being down or blue or sad as depression. If you are really suffering a clinical depression, you will know that this doesn't even begin to describe the bottomless pit of hopelssness and despair, or the level of debilitation that is associated. Trust your own instincts here. Asking for input and doing some research is a good start to help you develop those instincts.
Good Luck