I'm just lurking here a bit b/c I'm still first trimester, but wanted to chime in here. A friend of mine (who is now an OB/GYN resident at UVA) did some research with a psychiatrist at the University Hospital where I work on depression in pregnant women. The results of the study showed that it was better for both mother and baby to be treated (with medication if necessary) for depression, than for the mother to be depressed and forego treatment. Certain anti-depressants have been proven safe in pregnancy. So if you feel your depression is getting to a point where you are non-functional, I would talk to your doctor. It will probably be better for your baby in the long run.
Of course, I don't think the depression that is mostly hormonal and comes and goes throughout pregnancy is something to be concerned about, but if it is chronic and interferes with your ability to function normally day to day, I would talk to someone about it.
I have spent years on anti-depressants and fighting depression and it isn't fun. If it seems abnormal to you, I would get it checked out.
(ok...going back to lurking for the next few weeks...)