I've been dealing with a severe case of major depression for the last five years. I've been on every class of anti-depressant under the sun, at one time being on five different medications at once. None of it was able to fully lift me out of a depressive episode. ECT (electro-convulsive therapy) was the only thing that was able to bring me back to anything resembling happiness. Lexapro was the sole medication where the benefits outweighed the side effects, so these days I'm just on that and Adderall for ADHD. Those, along with a SAD lamp to help regulate my circadian rhythm throughout the year is much more effective than any other combination I've tried.
Unfortunately, it was hell trying to convince my psychiatrist that I needed to be weaned off the other medications he had put me on. I had to do the research myself on how to safely do it, then weened myself down to just Lexapro and Adderall on my own. He was absolutely shocked when I eventually told him that I'd been on just one antidepressant for four months straight.
If I ever have another severe depressive episode (highly likely), I'm going straight to ECT. I've done two rounds of ECT over that last 3 1/2 years, and it's been two years since my last round. The medication and lifestyle changes I made (again, against doctor recommendation) seems to be working well to keep my mood relatively stable, though I still have relatively minor periods of depression each year that last a few weeks each. The medication cocktails with all of their side effects and withdrawal symptoms just aren't worth it, especially when I get depressed enough that my life is literally on the line.