You'll need a doctor's prescription if you really feel you need to take meds. There are so many different types and different levels of depression and self-medication isn't a good idea. I was prescribed this:
http://en.wikipedia.org/wiki/Amitriptyline

I weaned myself off it eventually. I'd hate to become dependent on drugs to be able to function. Amitrip made me drowsy for the rest of the day even though I took it at night before sleeping. Not a fun feeling at all. It was also to help me with my insomnia.