I feel the same way!!! Wow,i thought i was crazy. When i get put on a new medicine i think it works well then i become depressed again. I am on xanax,effexor,lamictal,& lithium currently.i just started the lithium so i will have to wait to see how that turns out. Hope you feel better,if nothing else we know its not "just in our heads".
Quietgirl is right. For some of us med changes are a constant cycle that we have to deal with. There is no miracle pill yet but there are a lot of medications that really make this easier for a little while but in my experience there is no medicine that works consistently. Right now I am on Seroquel which works great for me and I am about to get back on Lamictal. I hope you find one that works for you.
Medications tend to need to be adjusted from time to time, which is why most places have med evaluations at least every six months. Whether this is simply going to mean the dosage or adding on/taking away certain medications will depend on the psychiatrist's decision, which should be based on how you have reacted to the medication in question thus far.