What you're talking about is called suicidal ideation: http://en.wikipedia.org/wiki/Suicidal_ideation . (Google those keywords to learn more.) I have dealt with this issue for 20 years. The first 10 years, I thought I was going to die. But I've learned to lower my suicidal ideation levels tremendously by trial and error. It was reassuring for me to learn from a psychologist friend that (A) suicidal ideation is the "l…
P.S. If you do see a psychologist, go to a psychologist who uses "positive psychology": http://en.wikipedia.org/wiki/Martin_Seligman#Positive_psycho... . Freudian/Yungian take a "mental illness model" approach that doesn't work for people like us, I believe. Cognitive Behavioral Therapy and other approaches are much more effective, in my opinion. You should also read Martin Seligman's books (Learned Optimism and What…
Research shows that medication, cognitive-behavioral therapy, interpersonal therapy, and marriage/family therapy are all beneficial.
As you've intuited, psycho-dynamic therapy (along the lines of Freud) is not shown to be especially efficacious in alleviating depression except in cases where other measures were already being somewhat effective and only over a long time.