I think they vary from person to person. What helps one person, doesn't help another. I've been on them since I was fourteen for anxiety and depression. I was terrified of going on them at the beginning, because they were OMG DRUGS!, you know? But if they help, then take them. So far I've had:
Amtriptyline - it really helped for the first couple of years, but then the effect started to wear off and they stopped helping with my depression and anxiety. Side effects? None that I noticed, or at least can remember.
Citalopram - or EVIL, as I call it. Really made me feel very ill and anxious to begin with. Side effects were horrible for the first few weeks (dry mouth, mouth ulcers, sickness and dizziness) . Stayed on it for a bit, but didn't do enough to make the side effects worth it, and when increased the dosage they made me worse than before I'd be on them.
Fluxoetine (prozac) - didn't really notice anything while on them so I suppose helped with depression and anxiety. No noticeable side effects. Felt they weren't doing anything, but they were. Went off them and Whoosh! Anxiety and depression went extremely bad. But I needed something a bit stronger.
Mirtazapine - Am currently on this and want off now, although I've only been on them a few weeks and not sure if I should be patient. Make you extremely drowsy to begin with (though that helped me recover my sleep) so you're pretty much non-functioning for the first seven days. I found that extremely scary. That's worn off, but I've found that they make me more anxious (I haven't been as bad as I am agorophobia-wise for a while as I have been now) and aren't really helping with my depression. The weight gain is horrible! I'm extremely unhappy about that. A few weeks and can't fit into most of my jeans!
Diazipam (valium) - I always get this if I have to go somewhere that I know is going to be extremely stressful (holidays, flights, etc). Really helps with the panic attacks (stops them within five minutes of taking), but is addictive long term (I can see why) so wouldn't recommend. It's my 'boost' for in between meds.