I think antidepressants are so popular because they're cheaper and more convenient than therapy, and because it's more convenient to pop a pill than to fix what's really bothering you, whether it's a psychological issue or unhealthy lifestyle.
The currently popular antidepressants are selective serotonin reuptake inhibitors (SSRIs) meaning that they work by preventing the neurotransmitter serotonin from being reabsorbed so that it remains in the synapse longer and its effects are felt longer--it basically makes you feel calm and happy. My estimate is that only 10-25% of Americans taking SSRIs actually have a chemical imbalance of the brain; the drugs will be effective for almost anyone by changing brain chemistry, but that doesn't mean this change is a good idea in a normal brain. The results of animal studies are disturbing, and the very-long-term effects in humans are unknown.
My #1 recommendation to people who feel depressed or anxious is to look for the cause. If life has been traumatic or stressful, it's better to avoid SSRIs and try to resolve the stress and have a healthy lifestyle while going to therapy. Be alert for negative self-statements, which means telling yourself in your head things like, "I'm a terrible person," "Nothing good ever happens to me." If there is no evident trauma or stress or negative self-statements, and your lifestyle is pretty healthy with no changes made at the time when the problem started, I would still try every other method of treatment before SSRIs. If depression/anxiety is so acute that you really can't function, take an SSRI for a brief period, like 3 months, AND get therapy.
Cognitive therapy is a good technique for ending negative self-statements. It helps you recognize them and contradict them. Find a therapist to help you learn how to do this, and/or read Feeling Good: The New Mood Therapy
by David Burns (I think
Omega-3s are important, esp. if you eat a low-fat diet. Your brain needs a certain amount of fat for optimal functioning.
Low-carb diets also can be hard on the brain, esp. serotonin production. Eat complex carbs like rice and potatoes. You don't have to eat them constantly to get the effect--you can eat them when you feel particularly low and feel a rapid improvement.
Light therapy is for people who feel sadder in the winter or who spend a lot of time away from natural light (i.e. working in a windowless office). Seasonal Affective Disorder is the name for this type of depression.
Exercise definitely helps. For me, it makes a big difference to take just 10 seconds to stretch my arms up as high as I can and bring them down in a big circle.
If you're anxious or overwhelmed-depressed because it seems like life is too complicated and everything's spiraling out of control, enlist someone (if not a therapist, a loving supportive person) to help get your expectations under control. Make a big list of all the things you "have to" do, and discuss w/helper to categorize them as things you actually HAVE TO keep up with on a regular basis, things you can be more relaxed about, and things you can delegate or just forget! Then have helper make a list of the 3 things you are going to do each day for a week (they can be different things each day) and consider that your assignment. You have to do those things, and you're not allowed to goof off until you finish them, but you do NOT have to do ANYTHING else. When you finish those 3 things, you may be surprised at how much energy you have and how you want to do other things.
Try scheduling a melt-down hour every day. If kids are old enough, make a "do not disturb" sign and explain that when you put up the sign they may not come in unless it's an emergency. Spend melt-down hour writing down everything that's bothering you, crying, etc. At the end of the hour, wash your face, do a big stretch, and get back to life!
Regardless of the underlying cause of depression or anxiety, it usually helps to identify things that particularly bother you and avoid them, and to identify things that comfort you and keep them handy for your worst moments. Sometimes, esp. for women, feeling that there's something wrong w/you for not being happier leads you to suppress urges to object to bad stuff or insist on good stuff, and that only makes it worse!!
St. John's Wort is an herbal anti-depressant that's been found as effective as SSRIs in clinical studies in Germany. I've never taken it myself but have heard good things about it from everyone who has.
Kava Kava is an herbal relaxant. Reviews of its effectiveness are mixed, and it has some health risks similar to alcohol. I wouldn't recommend taking it consistently, only for episodes of serious anxiety, esp. if accompanied by muscular tension.
Tryptophan is an amino acid that is converted into serotonin by the body or acts like serotonin (I forget which!). While it's available by prescription, it's probably better to get it from natural sources: poultry or fish eaten with complex carbohydrate. I don't know of any vegetarian sources. I often feel happier after eating rice w/mushrooms (regular white button mushrooms) but I don't know if that means anything chemically or it's just a comfort food for me!