The absolute best evocation I've yet found (and most beautifully written) on the feelings of depression is Darkness Visible by William Styron. [0]

What he describes may not be accurate for all instances of depression, but he certainly hits the nail on the head for many.

[0] http://www.amazon.com/Darkness-Visible-Madness-William-Styro...

Everyone's situation is different. I think Styron nails it down very well and offers a lot of hope. This book has helped many, including myself when I was down and it's a short read. Sometimes depression doesn't have a cause, sometimes it does. Please give it a read (not intentionally promoting amazon, easiest place to find a link): http://www.amazon.com/Darkness-Visible-Madness-William-Styro...