Here's a silver lining: I'd rather be sad than depressed.
I've been trying to pin down the enjoyment I get out of feeling really tragically upset, and it's more than the half-pleasurable self-indulgence of wallowing, it's the feeling of biting down hard on something solid. With depression there's no satisfaction, no knowledge that at least I'm supposed to be feeling that way. Being sad but allowed, even expected to feel sad lets me off the hook for a lot of self-loathing.
There's also the dimension of possibility. If sadness comes from within and you can't stop it, there's no path of recourse. If it comes to you from the outside it's more likely to leave again. The worst part of depression is the fear that it will never go away, that no matter what good things happen in your life you'll always want to die.