From Nancy Schimelpfening,
Your Guide to Depression.
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About.com Health's Disease and Condition content is reviewed by Steven Gans, MD

A. Although depression is often thought of a being an extreme state of sadness, there is a vast difference between clinical depression and sadness. Sadness is a part of being human, a natural reaction to painful circumstances. All of us will experience sadness at some point in our lives. Depression, however, is a physical illness with many more symptoms than an unhappy mood. The person with clinical depression finds that there is not always a logical reason for his dark feelings. Exhortations from well-meaning friends and family for him to "snap out of it" provide only frustration for he can no more "snap out of it" than the diabetic can will his pancreas to produce more insulin. Sadness is a transient feeling that passes as a person comes to term with his troubles. Depression can linger for weeks, months or even years. The sad person feels bad, but continues to cope with living. A person with clinical depression may feel overwhelmed and hopeless.