I also experience a lot of anxiety with the depression. I take Klonopin and Gabapentin to try to attack the anxiety I get, but I still get symptoms. Seroquel also helps take the edge off, but I think my anxiety is pretty much chronic.

Sometimes my anxiety masks the depression, but my psychiatrist said it is still depression, nevertheless. That being said, I also get some anxiety during manias and mixed manias, where it is more the agitated "my plans are so big, everything needs to be done now" kind of anxiety. Also, with mixed episodes, the anxiety is so, so bad.