One of the problems is that depression isn't a single process. It's a symptom, and we lump a lot of things under that name.
The exact details vary from patient to patient. Also, the differences in the way the drugs used to treat it are metabolized in different people can be pretty significant.
I've taken Prozac for nearly as long as it's been available. It works well for me. When I've gone off of it to see if I could do without, the depression came back on a pretty predictable timeline. I tried another antidepressant, Effexor, and that didn't work so well for me. The additional effect it has on norepinephrine as well as the serotonin system (I'm guessing that's what it was based on what we know about how it works. YMMV) made me a bit too up, i.e. slightly hypomanic.
The SSRIs don't work for everyone. It's usually taken about 3 tries for most of those I know who are taking them for definitely diagnosed depression to find the right one/the right dose. For a goodly number, they just don't work that well.
The certainly aren't the only class of drugs that are like that. Blood pressure medications often have to be tailored in dose and kind before they lower the pressure enough without too many side effects.
As another anon (maybe you) mentioned, regular exercise works very well for many people. But again, not so well for all, either due to inability to exercise, or just not working as well as in other people. (In fact, regular exercise programs are an excellent thing to try first in depression, IMHO as soon as other common medical causes like hypothyroidism are ruled out).
As others have mentioned, when you're first starting a new antidepressant changing dosage, you need to be monitored by a health professional (which I'm not, thus take this as one man's views.). Mood changes and the possibility of suicidality aren't something to try to watch for by yourself as you're the one whose judgement is being impacted by them.