I've had both....

Cognitive therapy worked wonders in actually bringing about change.  It wasn't insight-related, it was about taking action and doing things differently.    I got dramatic results in a short time.

At the same time I was sinking lower and lower into a serious clinical depression.  My psychiatrist and cognitive therapist talked regularly.  One day my cognitive therapist told me we had to halt therapy, that it just wouldn't work with a serious depression.     A few months later I went back and was helped tremendously.

I don't know how serious your depression is ... if you're stable on medication I recommend heading for cognitive therapy.  

[Peanuts2]

What is cognitive therapy?

[churnman]

Congratulations on finding help through therapy. I find this method helpful too. A big part of my getting to feel better has been to acknowledge that I have a problem that cannot be fixed b me alone. Listening to others and then to oneself is definitly a learing experience.

This also helped me in accepting medication that I thought I didn't need.

[Mickey88]

In cognitive therapy the patient works toward changing thought patterns.  For example, I make a mistake at work and believe I'm incompetent.  I keep feeding that thought and feel depressed.  In cognative therapy I work with the therapist in changing the erroneous thought.  The next time something similar happens, I stop the process and change the thinking before spiraling downward.  In cognative therapy it doesn't matter why I have such low self-esteem, it's about directly changing the thought.

[Peanuts2]

That's the best advice I've heard....what we think, we become, whether its depression, in pain, etc.  We have the power of the mind and the body will follow your thoughts!!!!!