In reply to ow arm:
When I finally admitted to myself I needed help, before I went to see my doctor, I spoke to my sister (who is a doctor but living down under) and the way she explained the therapy options to me was this:
If you want coping mechanisms CBT is great, but if you want to understand the underlying causes for your depression, counselling is better. However, counselling is much harder to go through, therefore you really need to be ready to put yourself through the mill and see it through - which means your GP will probably offer CBT first. She also reckoned there is a tendency to offer CBT more to men, because we tend to be more reluctant to talk about our feelings.
After speaking with my GP, I decided I wanted to try un-medicated counselling first (true to form, she did initially suggest CBT but when I said I'd prefer to try counselling she agreed that it was a good idea). I'm not against depression medication - I'd still consider it in the future if things went downhill again and I certainly wouldn't recommend others to avoid it, but for me having spent most of my teens and twenties "self medicating" with various substances I felt I wanted to go into the counselling without anything masking what was going on in my head.
As I say that was a completely personal choice and it's not a recommendation to anyone else one way or the other - apart from anything else I have no dependants and family network that I know would look after me if the sh*t really hit the fan, so the consequences of my strategy going wrong were much less than they might be for others.
I was lucky in that where I lived, my GP was able to refer me to a rather excellent charitable organisation (West London Centre for Counselling) where I was initially offered 12 sessions, but this was almost immediately doubled as certain episodes from my past were uncovered, and eventually extended to last the best part of a year. The standard response from the NHS seems to be 6 weeks therapy and then even if something traumatic is uncovered it'll be "sorry, we can't help you any further at the moment, take some meds and come back in a year or two" which sadly could be fatal, so I'd be wary of going into it without independent means to continue the therapy in such an event... which is a real shame, because it goes against everything the NHS is supposed to stand for.
Anyway, the counselling was a pretty traumatic experience, and there was a period early on where I felt like my whole world had imploded, and became barely functional beyond getting myself in and out of work and doing the bare minimum, however after about four months things started to improve again and I came out the other side with a lot better understanding of (and compassion for) myself.
It's less than a year since I finished the counselling and whilst I still have periods of low mood, I do feel an awful lot better than I have done for a number of years, and I haven't had a single panic attack since quite early on in the counselling process.
tl;dr counselling is really hard work, but has been of great benefit to me.