It depends on your age, how long you've had depression and how bad it is as to what course of treatment is recommended. The Department of Health guidelines don't allow under 18's to be prescribed anti-depressants without trying counselling first and even then unless it is absolutely necessary.
If its something new (i.e. you haven't had depression before and it's developed over a few months) and isn't severe (google PRQ9 form) they usually go for counselling first. You don't have to have counselling, you can opt for medication. For long term depression medication is usually offered along with counselling.
I'm supposed to be having counselling as well but I'm resisting at the moment. I know I should go, it's free and there's no waiting list but I find it oppressive. I've had counselling before and it did more harm than good.
I'm having lots of dreams at the moment and acting them out. It's back to literally jumping out of bed because there's spiders crawling all over me (like last night) or stroking the imaginary cat on the bed whilst in a lucid trance like state. And I'm dreaming about the same two people every night. Separate dreams and different dreams each time but the same two people for the last week. I find them comforting though so I don't want them to stop. Just the cat and the spider ones need to stop before I start sleepwalking again :p I'm not stressed so I don't know what's causing it.