Klonopin "should" work pretty shortly after you take it.
You are right though about the depressing side-effect of Klonopin. It is the only benzo that has actually been shown to decrease the release of serotonin, so it very well could be causing some depression issues (or could cause cause more depression than the others).
Ativan is very similar to Xanax, and is only half as strong for panic.. ie. .25mg of Xanax=.5mg of Ativan.
It is not metabolized in the liver so it is safer in that aspect as well....
It's not "as good" for panic, Alprazolam (Xanax) is the better alternative, IMO
It's always best to ask a doctor
I agree with you though!