There is a lot of misunderstanding and stigma associated with clinical depression, not to mention that the feelings experienced by someone with depression are inaccessible to someone who has not suffered from it - in the same way as none of us will truly understand what someone in a concentration camp during WWII was going through - so I don't blame anyone for not understanding the extent of the illness - only for not trying.
If you'd like to understand what suffering from clinical depression is really like, I suggest starting with the Wikipedia article on major depressive disorder and to read up on people's experiences from memoir (e.g., Darkness Visible) or online (e.g, www.ihaveamentalillness.com).
The truth is that more people kill themselves from going through this illness than die in traffic accidents. A person with depression cannot control how he feels, and he feels guilty and ashamed of this fact. So saying that feeling bad is no use only exacerbates that blame and reminds the person of his own inadequacy.
I had depression and the experience is a humbling one - the world is not always a positive place we'd like it to be. Depression is as insidious as cancer, and a person can't cure depression by simply changing his thinking, just like he can't cure his cancer by changing his thoughts. Sometimes - but less often then not - a person cannot ever feel better and death is the only solution. Sad but true.