I've had hypnosis done by a woman that was also a psychologist. (She worked in a hospital) It was done for conversion disorder, not for depression. The sessions were mostly relaxing; a few (when certain "techniques" were used) made me tense and made my thoughts run, so we didn't do much of the techniques I didn't react well to. However, as those techniques were necessary for the conversion disorder treatment, it didn't help me any.

I was VERY scared of it in the beginning. I even went to great lengths to make sure I got the therapist a friend had been to so I knew she could be trusted. The whole idea of hypnosis scared me. But it turned out alright.