This article is from the Depression FAQ, by Cynthia Frazier with numerous contributions by others.
The group of symptoms which doctors and therapists use to diagnose depression ("depressive symptoms"), which includes the important proviso that the symptoms have manifested for more than a few weeks and that they are interfering with normal life, are the result of an alteration in brain chemistry. This alteration is similar to temporary, normal variations in brain chemistry which can be triggered by illness, stress, frustration, or grief, but it differs in that it is self-sustaining and does not resolve itself upon removal of such triggering events (if any such trigger can be found at all, which is not always the case.)
Instead, the alteration continues, producing depressive symptoms and through those symptoms, enormous new stresses on the person: unhappiness, sleep disorders, lack of concentration, difficulty in doing one's job, inability to care for one's physical and emotional needs, strain on existing relationships with friends and family. These new stresses may be sufficient to act as triggers for continuing brain chemistry alteration, or they may simply prevent the resolution of the difficulties which may have triggered the initial alteration, or both.
The depressive brain chemistry alteration seems to be self-limiting in most cases: after one to three years, a more normal chemistry reappears, even without medical treatment. However, if the alteration is profound enough to cause suicidal impulses, a majority of untreated depressed people will in fact attempt suicide, and as many as 17% will eventually succeed. Therefore, depression must be thought of as a potentially fatal illness. Friends and relatives may be deceived by the casual way that profoundly depressed people speak of suicide or self-mutilation. They are not casual because they "don't really mean it"; they are casual because these things seem no worse than the mental pain they are already suffering. Any comment such as, "You'd be better off if I were gone," or "I wish I could just jump out a window," is the equivalent of a sudden high fever; the depressed person must be taken to a professional who can monitor their danger. A formulated plan, such as, "I'm going to jump in front of the next car that comes by," is the equivalent of sudden unconsciousness: an immediate medical emergency which may require hospitalization.
Depression can shut down the survival instinct or temporarily suppress it. Therefore, depressed suicidal thinking is not the same as the suicidal thinking of normal people who have reached a crisis point in their lives. Depressive suicides give less warning, need less time to plan, and are willing to attempt more painful and immediate means, such as jumping out of a moving car. They may also fight the impulse to suicide by compromising on self-injury -- cutting themselves with knives, for example, in an attempt to distract themselves from severe mental pain. Again, relatives and friends are likely to be astonished by how quickly such an impulse can appear and be acted upon.