I have been prescribed (almost) every medication used to treat chronic depression. Definitely not every single one, but close. For me, they all had side effects that were uncomfortable.
The worst side effect for me was the nightmares. Not only were the dreams vivid (as in: running away from someone & very fearful, etc), but I couldn't awake from them. Frustrating & sort of made me not want to go to sleep in the first place.
Sounds stupid maybe, but...
Most definitely there were many other side effects, but that was one of the main ones.