I've been on two short courses: fluoxitine when I was at university, and sertraline a couple of years ago. The former was great and made me feel fantastic, but the latter made me feel worse - though it could've just been down to the nature of my 'illness', my age the time and what I was depressed about, rather than the drug itself.
Don't listen to these pseudo-medics in the media who say that you can and should do without them, or the Scientology-esque hysteria about them being some sort of evil drug - doctors prescribe because they usually work, and there is no shame in taking them. But they do work better when in tandem with other measures (i.e. counselling, lifestyle changes, etc.)