If you get help for depression, what can you expect?

I've been miserable most of my life. Only a few happy periods here and there. It's the same old crybaby stuff...bad childhood, overweight, ugly, bad temper, molested, bullied, ignored by loved ones, no close friends...all that self-pity crap. After a recent solo vacation I was really sad and thinking a lot about the final exit bit. So I searched on depression symptoms and came across a few websites with some quizzes to see if I was just a little sad or if I was clinically depressed. I got a chuckle when I finished the quizzes and they said to either seek immediate help or call 911. So ok, I get it. I'm interested in trying to help myself but I would like to know if anyone else has gone through this stuff and come though it. What should I expect if I show up at a clinic and ask to see a Psychiatrist? And is it worth it? Does it actually help or are you then just more depressed because the money you spent didn't get you anywhere? lol