Hmm, not just me then?
blah blah blah.
What a load of bollox eh?
Damn right. First step for you has been to recognise that. Second step is to do something about it!
The bit I've perhaps petulantly quoted "blah blah blah" is, I think, very typical of people (like you and me) who suffer from low self esteem. The negative thoughts such as "why would my friends want to hear about my problems" and "my illness is insignificant compared with theirs" and "I can't get the job I want" and "I'm not good enough for my girlfriend" etc etc etc are dragging you down, and it is your attitude that is causing it. That means YOU can change it by thinking about the positive side of things instead of the negative.
e.g.
Problem: "why would my friends want to hear about my problems"
A Solution: Because if they are your friends, or family, then it is because they care. Don't assume that they are so wrapped up in their own problems that they have zero time for a chat. For example, your friend with breast cancer - do you have time for her? Of course you do! So why wouldn't your friends have time for you? And for them, talking about someone else' problems would perhaps take their mind off what they are going through, so in a way you're helping each other. Put it this way - what harm will it do to give them a call?
P: "my illness is insignificant compared with theirs"
A: Theirs is life-threatening. So is yours. How the illnesses differ is a moot point. Part of mental illness is the perception we have as sufferers of what other people think. Mental illness is stigmatised whereas cancer (for example) isn't. There's no depression screening program or such like. But that doesn't mean that its not significant! A lot of people don't realise how significant it is - tell people you've been thinking of suicide and you'll see how quickly people take your "insignificant" illness seriously (but don't use it as an emotional blackmail tool!)
P: "I can't get the job I want"
A: Well, see your unemployment as the key to opening a new door in your life. You have skills, whether you currently recognise them or not, which will be applicable to whatever you want to put your mind to. If you are struggling, then consider further education or retraining. Can't afford it? Then sell your house - who needs the weight of debt that that entails! As for turning something down you'd love to do because its not going to earn you megabucks, then you need to look at what your priorities are - do you want to be happy going to work everyday, pouring your soul into the best job you ever had OR do you want to slave away doing something a bit shit to pay the mortgage (do you need it, see above) and forever live out your life regretting not taking this golden opportunity?
P: "I'm not good enough for my girlfriend"
A: A common thought and reaction, to hide yourself away and deal with it on your own terms. Firstly, you don't have to get her involved. If you want to deal with it yourself, then why not? And she should be able to respect that. But that only works if you ARE doing something about it instead of wallowing in self pity and misery because you're not doing anything about it! Or you can talk to her, explain how you feel, be open to any suggestions. In my experience, its difficult to relate how you feel and it can be difficult for them to understand what you are going through. And just because you are with her now, does not necessarily mean she is the right person for you...
All a bit rambling, and I hope I don't come across as arrogant or anything! I eventually sought help for my depression and I have been in the same shoes as you, for sure. The above 'advice' I could not have dreamed of giving to anyone a few years ago. Email is in my profile if you want to drop me an email - would be glad to help!
Oh, and the offer of help/advice goes out to anyone on here who wants it