I get cluster headaches a couple of times a year. Those of you who don't know what that means, it's comparable to forcing a molten icepick out of your temple/eye socket from the inside of you skull for an hour or so. If you can't suppress them or abort them chemically as they begin, the only thing you can do is try to ride it out and stay on top of your sanity and maintain self-control.
During one particularly bad event, I lost my control and almost blew my brains out. After dry-heaving myself ragged and bloodying my head on the floor in an attempt to render myself unconscious (which only partially worked, and made things much worse) I dragged myself blindly over to my safe and started trying to type in the code to open it.
I can say unequivocally that had I managed to enter the code correctly and open the door, I'd have shot myself dead right then and there. Not because I wanted to die. Rather, I made the decision in that agony induced haze that living through the remaining ~40 minutes of cluster headache hell wasn't worth living the remainder of my life afterwards.
I don't really know what depression is like, so I can't speak that much about it. But I seriously doubt the suffering many of them experience has anything to do with their "little fee fees" or wanting to be "edgy".