A lot of people have strong opinions on this one.
Here is my opinion, based on experience and a review of the evidence:
1) there is no single antidepressant on the market today that is consistently or markedly superior to any other, in terms of its ability to treat depressive symptoms or reduce depressive relapses
2) statement -1- is true in general, yet it is possible that for a given individual, there may well be one particular antidepressant, or combination of antidepressants, that does work best
3) many of the comparative statements made about antidepressants in advertising try to emphasize differences which are often clinically irrelevant
4) differences in pharmacology (e.g. receptor binding, etc.) can be prominently described in advertising, yet in many cases these facts are not clinically relevant
5) there are few if any consistent differences in side effects between the different SSRI's. There may be differences for a given individual, however.
6) For a given individual, the evidence is clear that if one antidepressant fails to work, there is a reasonable chance that a different antidepressant or combination could work, even if the new drug has a similar mechanism of action.
7) There are side effect differences between the different subtypes of antidepressants. SSRI's may cause nausea, mild fatigue, mild sleep disturbance, etc. Tricyclic antidepressants have "anticholinergic" side effects of dry mouth, constipation, faintness due to blood pressure drops, etc. Mirtazapine causes sedation and weight gain. Bupropion can have more "stimulating" side-effects sometimes, such as nervousness or insomnia. The newer antidepressants are safer in overdose, but the old tricyclics can be dangerous or lethal in overdose.
8) Venlafaxine XR and Escitalopram are both vying for the position of "best antidepressant", in terms of being an antidepressant that has the highest chance of leading to total remission of symptoms. It is clear to me that these both can be good antidepressants, and for a given person may well end up working better than anything else. I have seen quite a few people react quite poorly to venlafaxine, though, in terms of side effects. And, if there are true advantages to these two drugs, I think the differences are small. It is worthwhile for any individual to give several different antidepressants a try, if one particular one is not working.
9) sometimes a particular antidepressant's side-effects can work well with a person's symptoms. For example, if a person is having severe insomnia, and has lost a lot of weight with a severe depression, than mirtazapine would be a good choice. If a person has a lot of fatigue, maybe some concentration problems, but not a lot of panic symptoms, with their depression, than bupropion could be a good choice (buproprion can help modestly with attention deficit problems). If a person has a chronic pain condition (e.g. neuropathic pain or recurrent migraine), then a tricyclic antidepressant could be a good choice (the tricyclics can help independently with chronic pain conditions).