As someone with a psych degree, and who has had depression and anxiety, and been on both benzos and ssri's I would recommend you try some therapy before trying antidepressants. Really therapy is the best option because it allows you to tackle the issues that are causing the anxiety and depression and gives you strategies to deal with the symptoms. It is definately worth trying first. use the ssri's as a last resort.
I'll just give a quick rundown on ssri's if you want any further info I'll be happy to elaborate.
They take a couple of weeks to a couple of months to start working. during this time alot of the side effects will be at their most severe. however, other longterm side effects won't show up until a couple of months after use. Initially some of the problems with ssris are that you may have an increased amount of suicidial thoughts, also insomnia, agitation and anxiety can increase.
There is debate about how effective antidepressants actually are. I found them to be moderately helpful, but the most helpful thing in stopping my depression and anxiety was to deal with what was really making me unhappy, and changing some things around in my life. SSRIs will only deal with the symptoms of depression and anxiety, they won't cure it.
Some of them more longterm effects of ssris are greatly lowered libido, difficulty orgasming, numbing your emotions, becoming apathetic, weight gain.
Also, they are very hard to give up. I'm tapering off zoloft now, and am half my usual dose. Some of the withdrawal symptoms are pretty uncomfortable.
As for benzos, most guys have already pointed out there problems. resist the temptation to abuse the xanax. Going through benzo withdrawals is fucking hell.
Even if you are going to take the drugs, at least get some therapy in the meantime.
Also, what the guy said about exercise is pretty true. really good for depression. talk to friends and family about problems really helps too.