I think a lot of us go into personal development or coaching or self-reflection thinking we will ultimately discover the ultimate recipe to happiness. Of course, there is no such thing, and life has an undeniable sadness to it, just as it has its rainbows and sunshine. There are elements of suffering and pain to life and we will all have to go through times that are difficult, just as we will hopefully encounter times that remind us what blessing it truly is to be alive. Other people, I have encountered, like to be sad.
One of the most surprising things I have come to learn is that pain is far preferable to emptiness. There is a truth to the fact that heartache is better than to not love, and that sadness is better than apathy. Most people will rather expose voluntarily themselves to electric shocks than to sit in an empty room, doing nothing, being bored. 

Is depression “being sad without having the choice to be”?

It is worse when we feel that we have no choice or when we are unable to make the choice to be unhappy for ourselves. Often, people will try to protect us from negative emotions, foolishly thinking that they are doing us a favour. I think depression is, beyond a state of unhappiness, a state of involuntary unhappiness or the emptiness of not being able to make a choice. We feel the worst when we feel unhappy and at the same time unaware of why we are unhappy.
If we experienced control or if we knew that we had chosen this for ourselves, we would feel a state of unhappy determination, I think a lot of people, like the Enneagram 4, are known for this resolute hotheaded determination to choose to be sad. I don’t necessarily know if this is the wrong way to be unhappy. Really, there’s actually something admirable in this desire to jump into the ocean. Personally, there’s something I love about sad things, sad music, rain, darkness, my god, it’s like I’m attracted to it. Always have been. Maybe because sad isn’t sad to an introverted feeling type. Not unless it actually is sad of course. I don’t think I am depressed for liking sad things – I think depression is when you’re sad and you haven’t chosen to be.
You might say, damn, I chose misery by not going for the girl I loved. You might feel miserable for it. And you might determine that in the future, you will speak out for how you feel. “Or you might say I should have moved or started up a new education or gotten a new job.” What would you actually say?
Sometimes it’s better to resolve to be unhappy
That resolution really can ease anything. When there is no choice, and it is just a dark reality forced on us, that’s when depression can really get a grip over us. Sometimes these things are inevitable, and then, all we can do is hang in there, until a new door opens for us. Other times, we are blind to the choices we made for ourselves by waiting, by not doing anything, or by being too passive. I think a lot of people are constantly keeping unhappiness away from them when it’s such a natural part of life, and because they do, sadness is always piling up. So there’s something positive in wallowing.
I feel caught up with this sometimes almost unbearable heaviness of life as I have to endure great hardships (Well, for a person growing up in a lower middle class household in the west, I know, relative to others, I can be pretty lucky.) and life is difficult sometimes, but at least it is not empty. In the past, I was depressed, and I didn’t even know it, because I just felt so cut off from it. Now I can only count myself lucky – happy – to have my own apartment with the love of my life, as difficult as it can be to manage finance and to manage work and to stay true to my hobbies and passions. I’ll figure out the puzzle one day. 
Now I have a reason to wake up in the morning, though waking up in the mornings can be a hard thing. And I’m the kind of person that tends to smile when things go wrong. I can only laugh when everything goes wrong. There is not much more we can do, really. How far did complaining ever get anyone? Except for Donald Trump of course, he got pretty far by complaining.
What do you think about sadness?