In my experience, everyone I've seen has a unique and individual experience of depression, in terms of their associated thoughts, and the impact of the depression on their life & behaviour.
Yet there are common factors, and the "DSM-IV" style symptom lists can be useful to review:
1) Depressed mood. This can vary from a continuous low mood, which might be coloured with sadness, tearfulness, anxiety, irritability, sometimes numbness or emotionlessness. Sometimes all of the above. Sometimes the mood is continuous, sometimes the feelings come in waves lasting minutes or hours. Sometimes the mood dips in reaction to external events (a daily frustration or stress), but sometimes the mood changes seem random. Some people can have other patterns, of good days & bad days, good months & bad months, good seasons & bad seasons. Some can display a cheerful mood for brief periods of time, while crashing immediately afterwards, or perhaps always feeling unhappy inside despite appearing cheerful. One common phenomenon is of a depressed mood that is consistently worst in the early morning.
2) Lack of interest or pleasure. Previous life joys feel boring, uninteresting, or unpleasant. A lack of drive to do pleasurable things (e.g. socializing, recreational activities, sex).
3) Sleep disturbance. Inability to sleep (difficulty falling or staying asleep, or waking too early in the morning). Or sleeping excessively. Sometimes both insomnia and excess sleep, at once, in which a person has fragmented, unrefreshing sleep, yet spends long periods of time in the day drifting in and out of sleep.
4) Appetite disturbance. Not wanting to eat, leading to weight loss. Or eating too much.
5) Lack of energy. Fatigue, lethargy, poor motivation.
6) Behaving in an agitated way, or in a very sluggish, slowed-down way.
7) Guilty thoughts. Blaming oneself for past events.
8) Indecisiveness. Trouble making small or large life decisions.
9) Trouble concentrating.
10) Thoughts about suicide.
11) Paranoid or delusional thoughts: for example, beliefs that there is a conspiracy going on, or that some terrible event is imminent.
12) Hallucinations: sometimes negative or derogatory voices can be part of a depressive episode.
13) "Low self-esteem": examples include thinking poorly of oneself most of the time, to self-hatred, self-loathing, feeling worthless. Often this is accompanied by so-called "negative self talk", in which one's own thoughts are critical or insulting to oneself.
14) Feeling helpless or powerless to effect any sort of change in self or circumstances
15) Somatic symptoms: many people have overt symptoms of physical pain, discomfort, reduced function, or other medical symptoms as part of their presentation of depression; this can lead to the person becoming worried about having a major medical disease such as cancer.
16) Frequently in depression there are also "comorbid" symptoms, especially anxiety symptoms such as severe worrying, panic attacks, and rumination (inability to stop thinking about a particular thing).
People can have different symptoms among this list at different times during their periods of depression, though quite often a similar pattern of symptoms repeats itself for a given person.