5mg is a low dose of Zyprexa, I imagine it is for sleep or anxiety? Are you happy taking that? There are side effects - movement disorders ("extra-pyramidal side effects") and metabolic effects (increased risk of diabetes, weight gain, cardiovascular problems) - but it's all about the risk:benefit balance.
Why are you particularly interested in mirtazepine, Effexor and Lexapro? They have quite different effects profiles. I appreciate you read in a magazine that they are the most popular, but that is not a good reason to choose a psychiatric medication. Here they are much less popular. I suspect it has a lot to do with marketing.. they are 3 of the more expensive meds.
Mirtazepine is a sedating antidepressant, although this action is less pronounced at higher doses. It also tends to stimulate appetite. Some find it lacks the sexual side effects of SSRIs/SNRIs. It is a good choice if you want a more sedating medication and if you have problems with your appetite.
Venlafaxine (Effexor) is a SNRI. It has a side effects profile similar to the SSRIs - it can cause sexual dysfunction, jitteriness, anorexia, insomnia, nausea - but many of these ease up within the first 2 weeks. It has a short half life and is prone to causing a discontinuation syndrome when stopped, but this is usually self-limiting. It is also licensed here for the treatment of anxiety, so it would be a good choice if you are prone to anxiety, or if you don't want a sedative drug.
Both of the above tend to be used second or third line here, as they are often effective when other antidepressants have failed.
Lexapro (escitalopram) is a SSRI - it is the S-isomer of citalopram and has one of the lowest side effects profiles amongst the SSRIs. Again, the side effects (if you get any) would tend to be sexual dysfunction, jitteriness/insomnia, reduced appetite etc. Over here it is reserved for treatment resistant depression, or for people who can't tolerate other medications.
SSRIs can increase the risk of suicide when you first start them, although this is probable relating to a lift in your energy with the improvement in your mood lagging somewhat - so suicidal thoughts that already exist can then be acted upon. This is not common, but it does happen so it is something to bear in mind. The risk appears to be greater in younger people.
Antidepressants can be very effective if you have moderate-severe depression, but the choice of which one is highly individual. Broadly speaking they are all reasonably equal in terms of efficacy, but what works for someone else may not work for you - you may need to try a few to find the right fit. It is worth giving them a good trial for several months before you switch, however, unless you can't tolerate them.
It is also very worthwhile considering some form of counselling or therapy.
Having said all that - this is a decision for you and your psychiatrist! You need a proper history to be taken, and an expert to help decide on the correct medication. We can't advise you - we don't know all the ins and outs, we're not experts and as I said before, what works/doesn't work for others can't be applied to you..