As for medications, they did help me, tremendously, twice before in my life. The very first time I took lexapro, it worked like a champ. Fast-forward a year and a half later, then cymbalta worked well. My problem with both of them was that they made me gain weight and probably, esp in the case of cymbalta, made me a bit manic. I do hope that the therapy that you are in is useful.

With respect to your last question, I don't know why it feels so bad. Someone once told me that depressed people are more "in tune" with existence and therefore feel things deeper...I'm not so sure about that. I have concluded that it feels bad to be alive when you're depressed, but when you're not depressed, it's not so bad...