It's a selfish, cowardly and greedy escape. Sounds horrible, but it's the reality. Everyone goes through phases of depression at one point in their life, and it takes time to reach the end of that bridge successfully.
The best thing to do is to find something to live for. Once you've figured out what that thing is (it's better if it's a loved one), you'll distract yourself enough to bring yourself out of those thoughts.
EDIT: Oh, and to answer your question, I'd feel devastated, but more ashamed of myself because I couldn't help the loved one in overcoming their temporary problem.