This article is from the Depression FAQ, by Cynthia Frazier with numerous contributions by others.
Being clinically depressed is very different from the down type of feeling that all people experience from time to time. Occasional feelings of sadness are a normal part of life, and it is that such feelings are often colloquially referred to as "depression." In clinical depression, such feelings are out of proportion to any external causes. There are things in everyone's life that are possible causes of sadness, but people who are not depressed manage to cope with these things without becoming incapacitated.
As one might expect, depression can present itself as feeling sad or "having the blues". However, sadness may not always be the dominant feeling of a depressed person. Depression can also be experienced as a numb or empty feeling, or perhaps no awareness of feeling at all. A depressed person may experience a noticeable loss in their ability to feel pleasure about anything. Depression, as viewed by psychiatrists, is an illness in which a person experiences a marked change in their mood and in the way they view themselves and the world. Depression as a significant depressive disorder ranges from short in duration and mild to long term and very severe, even life threatening.
Depressive disorders come in different forms, just as do other illnesses such as heart disease. The three most prevalent forms are major depression, dysthymia, and bipolar disorder.