This has been a lively discussion! My opinion:

My depression began to worsen last September. My T told me I should see a pdoc to "change my meds". I told her no. I didn't want to change my medication regimen. Next session, T told me she thought therapy wasn't going to help the depression, to see a pdoc and maybe "add a med". I vehemently said no because I knew she was suggesting adding a low-dose anti-psychotic (which seems to be a trend for depression right now...and no offense to those for which this tactic works) and I did not want to go back on anti-psychotics in any form. When I started taking anti-psychotics (low dose...25 mg Seroquel), I gained 40 pounds in six months...went from a size 4 to a 14, had NO sex drive, daytime drowsiness, and lived in a mental fog. During a 3-week hiatus from therapy (T had chemo), I decided to see my GP (who manages my p-meds). He raised my Zoloft by 50 mg and it worked like a charm. T still was peeved with me because I saw my GP and not a pdoc. I assured her he knew a lot about p-meds and he did a one-year residency in a psychiatric hospital. We have not discussed meds since. It's a sore spot.

To summarize, there are many reasons to decide to take (or not to take) meds. I wouldn't call it self-injury. I wouldn't call it non-compliance (although where I work, it would be called such). There are many things to consider, not the least of which is effectiveness vs. side effects.