What is Depression?
Depression is not just "having the blues."  Feelings such as sadness or restlessness are a normal part of life.  For example, if someone were to have someone close to them die, sadness would be a normal response.  However, someone with clinical depression experiences certain symptoms without any directly related external causes.
Depression sufferers display a variety of symptoms- no two people experience depression in the exact same way.  Symptoms can vary in severity and in length of time. If  five or more of these symptoms have been present every day for a consistent two week period and one of the symptoms is either (1) depressed mood or (2) loss of interest or pleasure, the criteria for a major depressive episode has been met. 
(*Please See Sources)
Loss of interest or pleasure in all or almost all activities, most of the day, every day
Sad, anxious, or "empty" mood, most of the day, almost every day
Sleeping too little (insomnia) or sleeping too much (hypersomnia)
Weight loss (when not dieting) or weight gain, increase or decrease in appetite nearly every day
Agitation, irritability, or restlessness nearly every day
Physical symptoms that do not respond to treatment, such as headaches or chronic pain
Difficulty concentrating or remembering, constant indecisiveness 
Constant feelings of hopelessness, worthlessness or inappropriate guilt
Recurrent thoughts of suicide or death or a suicide attempt
The symptoms cause significant distress and impairment in social, occupational, or other areas of functioning.
The symptoms are not the result of a physiologic effect of a substance or medication.
The symptoms do not meet the criteria for a Mixed Episode (such as Schizophrenia or Delusional Disorder) and are not the result of the death of a loved one.
“Depression becomes an illness when the person cannot throw off a state of deep sadness that paralyzes the self” -Helen B. Lewis in "Women and Madness" 

 
Types of Depression* 
Depending on symptoms, the length of time, and severity of symptoms, the following depressive episode may be diagnosed.
Major Depression: Serious chronic depression in which many people can not continue to function normally.  These episodes can occur only one time or several times throughout a person's lifetime.
Dysthymia:  Mild Chronic Depression lasting for at least two years.  Most people with Dysthymia continue to function in their day to day lives with the feeling that they are just "going through the motions."  Some do not realize that they are depressed.
Bipolar Depression/Manic Depressive Illness: Involves cycles of depression, elation and/or mania.  Mood switches can be gradual or rapid.
Seasonal Affective Disorder (SAD): Depression symptoms occur every Winter and is accompanied by decrease in energy, a need for more sleep, and a craving for carbohydrates.
Post Partum Depression: Depression symptoms that occurs after a mother has had a baby.
* This information is explained more thoroughly in Andrew’s Depression Page: Depression Faq: Archive-name: alt-support-depression/faq/part
http://www.blarg.net/~charlatn/depression/faq_frame.html
 

 
* Sources:
American Psychiatric Association. Diagnostic and Statistical   Manual of Mental Disorders. 4th ed. (DSM-IV). Washington, DC: American Psychiatric Association; 1994. 

"Facts: Clinical Depression and Women: Learn to Recognize the Symptoms of Clinical Depression." http://www.organoninc.com/treatments.women.html

Lewis, Helen B.  "Madness in Women." In Women and Mental Health edited by Elizabeth Howell and Marjorie Bayes ed.  (1981). Basic Books: New York.

Wells BG, Mandos LA, Hayes PE. Depressive Disorders, In: DiPiro JT, et al, eds. Pharmacotherapy. 3rd edition. Stanford: Appleton & Lange; 1997; 1398.