Nobody really knows anything about depression, when it comes down to it. It is known that some patients respond well to antidepressants, some to CBT, some to lifestyle changes, etc. I think, ultimately, you're just going to have to try a variety of things and see what works.
Do you have a family history of depression, and if so, do you know of anything that has helped family members? If you do, you may want to start there; there seems to be a significant genetic component in many cases. In my own case, I can trace depression back to my great-grandmother; it then passed to my grandmother and then my dad and three of his four siblings, then me and around half of my cousins on my paternal side. Every one of them who has tried SSRIs improved dramatically, and someday I'll probably give in and take them too.
Regarding Paxil: it generally has the strongest side effect profile of the SSRIs, including weight gain, serious discontinuation symptoms, and an even stronger negative effect on libido than the others. If you do try antidepressants, it'd likely be best not to start there.
In general, I don't see anything wrong with using antidepressants, but you do need to thoroughly research anything you're thinking of taking so that you can make an informed decision. Psychiatrists in general are drug-pushers, so be sure you know your drugs ahead of time so you know what you are and aren't willing to take.