Who should I go to for my depression?

FP and Psychiatrist. Many primary care physicians are interested in caring for patients with depression, but few have time to do more than provide medications. I believe it's important to talk deeply with a professional who can hold hope for you, when you might have temporarily lost it. This requires time and care. Many psychiatrists have stopped doing psychotherapy -- but there are still many who do it! just ask.
Your Family Doc. While your first inclination may be to see a psychiatrist, it often takes a few weeks to get an appointment with a specialist. See your primary care or family doctor first. They are well equipped to help most patients with depression. He or she may then refer you to a specialist they trust, and may even be able to get you an appointment sooner.
Someone to talk to. Most depression is reactive. This means that it is a temporary reaction to some very stressful situation. General consensus is that life sucks - and then we die. In the meantime we find what we can to make life bearable. Talk this out with whomever is one who listens and you find comfortable to talk to. A psychologist may be necessary or even psychiatrist if it gets more severe.