Depressed people often think intensely about their problems. These thoughts are called ruminations; they are persistent and depressed people have difficulty thinking about anything else. Numerous studies have also shown that this thinking style is often highly analytical. They dwell on a complex problem, breaking it down into smaller components, which are considered one at a time.
While this doesn't make depression any more pleasant, and I am by no means suggesting that severe depression is a good thing, it does suggest that there are times when it is useful, and that there are reasons for depression outside of a chemical imbalance.
And maybe I'm not paranoid after all.