I'm not but my husband did for a loooong time recently. He lost his job in the ***.com crash. He spent a year unemployeed looking for work then got a couple short contract things then back on unemployment and then finally a job only now he hates it so bad he wishes he were layed off again. He's actually at an interview right now so fingers crossed.
But anyway, when he was unemployeed he went through a lot of depresion. It was really really bad. But it ebbed and flowed. I think my best advice would be for you to stay active. Don't just sit in front of the tv when you aren't job hunting. Find a hobby, read, do work around the house, stay busy. The thing is that once you do find work again (and you will) that you'll look back at being unemployeed and think "Man I should have used that time."
I know that sounds weird but seriously if you stay stationary you'll start to think and then start to worry and then you'll get depressed. Keep your mind and body moving at all times. It'll help.
Also talk to your spouse if you are married about it. If not then talk to friends. Get some emotional support from those close to you. Also they can be good contacts for keeping eyes and ears open for job leads.
Good luck and stay strong.