Have you tried cognitive therapy? Studies have shown it can be more effective than medication in the long run, but it's no panacea.
I just started CT. I spent more than 4 years taking all sorts of different antidepressants with mixed success at best, and I decided to get off of them and give this therapy a shot.
Cognitive theory of depression contends that you feel the way you think, and depression is the result of "cognitive distortions" or errors in the way you think (perfectionistic and all or nothing thinking, minimization of positives, over generalization, etc).
It's worth a shot IMO. It seems the best that talk therapy has to offer. Regular psychoanalytic therapy is useless in treating mood disorders in my experience.
You can visit http://www.academyofct.org
to find a certified cognitive therapist in your area. edit:
it's nice to know URLs don't link correctly at all on this site