Well, it really depends exactly on what has been tried and how impaired/ill the patient is. Depression related auditory hallucinations usually resolve with the successful treatment of the depression.
If the case is truly refractory, have other meds such as TCA's been tried? What about psychotherapy? What about adjunct medications such as levothyroxine or lithium, to name two? Is the patient doing his/her activities of daily living, going to work, etc? Is the patient suicidal or self harming?
I'd reserve ECT for severe refractory cases or acute patients just because of possible anesthesia side effects and adverse events (is the patient morbidly obese, have COPD, have other health problems?), and some possible memory loss, especially if bipolar ECT is used.
I don't think there are many contraindications to do TMS if money is not a big concern and the patient is not acutely suicidal, self harming, not eating at all, etc.
If it were for myself, for first episode of severe depression with unlimited funds, I'd jump for TMS plus SSRI and CBT/DBT at a nice well-staffed resort, keeping in mind it's probably going to take about 40 sessions of TMS to see same effect as 9 to 12 sessions of ECT. If that didn't work I'd consider ECT. My doctor might disagree.