I am in agreement with everyone who has basically said that anti-depressants work differently with everyone, and for some people they will work and for some people they won't. I think they probably have less effect on people with situational depression.
I know for myself that there were antidepressants that did not work for me, such as Wellbutrin and Paxil and a couple of others. On the other hand, Effexor worked great, but only at a very high dose that just wasn't maintainable.
Psychotherapy didn't work at all for me, and I tried different programs with different therapists/psychologists/psychiatrists for different periods of time.
So far I haven't found anything that has worked as well as Effexor did. However, I don't plan on going back on effexor because I depression has lessened to a point where I now can function, and I rarely feel suicidal. So I can't say that antidepressants don't work. I do think there are multiple answers to how to treat depression and I think it really depends on the person, the severity of the depression, and how the illness is affecting one's life.
For example, if I went back to the place where I was for years (not getting out of bed most days, often feeling suicidal, on days where I thought I would be find and would go out in public I would break down crying for no apparent reason) I would definitely go back to some kind of antidepressant. I would also up my exercise routine .
I think people (even people with depression themselves) can be very judgmental about different types of treatment. I find psychotherapy doesn't work for me at all, but I know people who have found that it has basically moved mountains for them. I know people who journal in order to work through their feelings. I find journalling depressing, aggravating and definitely not something that helps me. I know people who have taken Paxil for six months to a year, had it help them get back on track with life and recover from depression. I took it and noticed absolutely no difference whatsoever.
I think at this point depression is so poorly misunderstood that we should be open-minded about all possible cures. Heck, if taking sugar pills but calling them some fancy name worked to help me, I would do it and pay a decent amount of money for it too lol!