It's not fun being depressed, not at all. Depression saps your strength and sometimes your will to live. It changes your whole view on life. The whole point about depression is that you can't 'just get control'. If you could, you wouldn't be depressed.
Sadness is a normal emotion that everyone feels, just like anger and happiness.
Depression is something totally different. Depression is an illness which is usually caused by a chemical imbalance in the brain. I would also say that anyone who has never experienced true depression should never judge someone who has because unless they are a doctor or psychologist then they really know nothing about it. You don't need medication. You should be able to handle life without it, everyone else does.