I was on fluoxetine for about 2 years before I decided enough was enough. It increased my anxiety, and increased thoughts of suicide. So yes, side effects do occur but as you can see the majority of people on this thread have found that it works well for them. My best advice to you is to try it, but if you see/anyone else notices a change for the worse in you, go back to the doctor and ask to try something else, you don't have to put up with it as I stupidly did!
That said, I really hope it works for you, depression is such a horrible thing to go through.