I have a good example like lindahand brought up. Geodon (although not an antidepressant but the same concept) worked pretty decent for me but for another person it made them angry all the time and another person it didn't work at all.
The newer antidepressant (which is pretty much all that is getting prescribed nowadays) have pretty much the same side-effect but each person is different so if you are getting a lot of side effects (past the two week point - they all suck the first two weeks) on one you may be able to switch to another and it works great. There are just too many variable in the human body. For example I can't handle Wellbutrin but can handle Cipralex or Celexa. I haven't tried many others but I imagine they'd be the same. My sister has tried prozac and it didn't work for her but paxil did. It may take some time to get the right medication.
If you are, or suspect you are bipolar, don't use antidepressants without a mood stabilizer or you could end up manic.
Also the side effects you will have will depend on you as a person because everyone's body chemistry is different.
Sorry but none they all have some sort of side affects. the side affects will be different per antidepressant although they all usually come with nausea, headache, tiredness/drowsiness, Loss of appetite or sometimes increase in appetite. But these symptoms usually only last 2 weeks til your used to them.