Oookay. Tremendous amount of misinformation and bad advice from people who don't really understand what depression is, here, so I'm gonna try to chime in. This is all grossly simplified, but in general terms it'll apply so take it with a grain of salt.
There are basically two kinds of depression: the first is feeling very sad for a prolonged period of time. This is usually following a tragic event such as a loss in the family, divorce, losing a job, etc. This is normal and a healthy part of living, and over time and with some effort it will go away on its own, assuming the situation gets better. This is also the kind of depression that can be fixed with exercise, meditation, and just plain ol' support from those around you.
The second is the clinical/chronic/etc. kind, the type where even though things in life are going fine and you're fully capable of functioning, you're still depressed. It can take many forms - the stereotypical image of the person wearing sweatpants moping around the house isn't necessarily accurate - and it can be masked very well. For example, a lot of comedians actually are pretty depressed, and they mask it with their comedy. The key thing with this, however, is that in these cases of depression the vast majority of the time it's a case where there is an actual chemical imbalance within the brain. That's what the anti-depressants are designed to try and fix.
The problem with anti-depressants, however, is that they vary a lot and that they affect everyone differently. There's even variation in the types of anti-depressants and the ways that they work, so if someone is on anti-depressants it may take a while before they find the one that works for them. Type A might work on one person but not work on another person, whereas Type B might not work for the first person but would work for the second. It's a process to figure out how each individual responds to each treatment, and as always some are better than others. This is the kicker because a lot of people don't realize that, and after trying one that seems to work they just stick to it. Or worse, they try one that makes their depression worse and swear off anti-depressants forever.
If the anti-depressants make you feel emotionless or have some other side affect that you dislike, you need to talk to your doctor about it to see if there's another type that would work better. They're not supposed to turn you into a robot, they're supposed to make you better. Stunting emotions is unhealthy as well and if that's what happens then something else needs to be attempted.