STAR*D researched the issue and gave hard numbers.
But nuts, my saved copy of it is somewhere under a stack of several things.
I made my own algorithm largely based on the results of the STAR*D.
I tend to start on an SSRI, usually Citalopram or Sertraline first. The reason for that is both are cheap, equally effective (pretty much all antidepressants are), and tend to have less side effects and interactions with other meds and liver enzymes. This is not about having a "favorite." It's about picking based on evidenced-based medicine.
If an SSRI doesn't work (evidenced by no benefit even at the maximum dosage for at least a month or inability to tolerate the medication), what I do next depends.
I tend to switch out of the SSRI family more quickly if the person has no comorbid anxiety. E.g. Wellbutrin.
If the person has a more vegetative depression: Wellbutrin or Prozac. Both are stimulatory.
Chronic pain: Wellbutrin, Effexor XR, Cymbalta, or Elavil. I will also consider adding Lamictal. In case you didn't know there is data that Lamictal, aside from being an antidepressant augmentation agent, does also reduce chronic pain.
http://www.aafp.org/afp/2005/0201/p483.html
Excessive weight but no anxiety: Wellbutrin.
Hypotension: Effexor XR
If the person was shifted into mania or other bipolar like symptoms, I double-check for bipolar disorder and try a mood stabilizer (usually Lamictal).
As one could pretty much tell, the choices become complicated and it gets to the point where one doctor, based on the data out there, may pick another medication. That is no problem so long as that doctor's choice is based on good evidenced-based medicine and the patient understands the reasons for the choice. I've encountered situations where one doctor picked a medication and it wasn't the one I would've picked but it was still a good choice based on the data out there.
It's also clear that learning about the complicated interactions of the medications is a life-long process. Every year of residency the meds I picked and chose differed because I learned more things. It was only until about one year as an attending that I noticed myself not changing them much but I still learn more and more in ways that challenge my previous opinion. I had not known about Lamictal's benefits with pain until a few months ago. I learned months after residency ended that Carbamazepine could possibly be dangerous to those of Eastern Asian ancestry. I never would've given Neurontin for anxiety during residency and I picked that idea up after seeing an attending successfully treat panic disorder in someone who had adverse reactions to every single SSRI and SNRI tried. I never encountered patients that were resistant or had an adverse reaction to every single SSRI and SNRI until the last 1.5 years and had an anxiety disorder. Now I've encountered a few. This can make things difficult because I do not prefer to give out benzos for the obvious reasons.
When doctors start picking meds because they like the color of the pill or "it's my favorite" that really rubs me the wrong way. I've seen plenty of doctors do that. E.g. the patient is obese, can't afford non-generics, and wants to lose weight and the doctor uses Seroquel as the antidepressant augmentation medication. Then the patient mentions their appetite has gone up, they are tired all the time, and they can't afford it, but the doctor continues them on it.
If I had a dime for every situation like the above, I'd have about $50 in my pocket.