During one specific Venlafaxine withdrawal, however, I have experienced severe depression, and got close to suicide. What saved me, ironically as it sounds, was a huge dose of Clonazepan I rationally decided to take just so I could sleep the withdrawal over. I'm still on Venlafaxine for a couple years now, I take it for Anxiety/Panic and that was the only time I've experienced severe depression in years.
What I've learned from all that is simple: that stuff is messing directly and profoundly with your brain, so take it very seriously: anti-depressants are not your over-the-counter shit. Apart from that, find a doctor you trust and talk to them,every little detail. Never trust a psychiatrist who does not suggest some kind of therapy: the meds won't cure you.
Also, I don't know of a single drug that won't give me some kind of discontinuation syndrome if interrupted after continuous use. From nose sprays and anti-acids to hypnotics, all have some rebound effects to them. I believe the bottom line is to be rational about taking any drugs, yet specially the ones messing with your head.