I generally don't like to talk to anyone about it, except my therapist and my Pdocs. Most people don't really understand mental illness (although many think they do) and for me that makes talking about it more frustrating than rewarding. Talking about it usually causes people to come up with all sorts of platitudes, unhelpful suggestions, and ignorant comments, and that's the best case scenario. There's also the distinct possibility that people will think you're "crazy" and will have a strong negative reaction, as mentioned above.

However, if I do disclose it, I prefer to say I'm bipolar rather than telling half-truths. I find that if you just say you're depressed, people assume it's because of some circumstance that you can fix. They think it's just a matter of finding out what's making you unhappy and then changing or accepting that. They will hound you with their new-age articles and meditation videos. Saying you're bipolar makes it clearer (or at least it should) that it's a real illness and not something that can simply be fixed. But like I said, many people don't even understand that much, so in 99% of cases I keep it to myself.