Feeling suicidal, or having suicide ideation is not inevitable when you have depression, but it is quite common. Don't hate yourself for having these thoughts, but don't dismiss them either. The most important thing to do is to talk to someone. If you can talk to your regular doctor immediately, then do so. You can also call a suicide-prevention or crisis helpline. These are generally confidential and staffed by people who are trained to receive those kinds of calls. Some helplines are listed in the resources section. If you feel that you're in danger of acting on suicidal thoughts, or that you can't cope with your feelings, go to your nearest hospital emergency department and tell them that you're feeling suicidal.
Remember, although it seems strange, that sometimes antidepressants can increase suicidal thoughts when you start to take them. If you think this is the case, as well as any other course of action mentioned above, make sure that you tell the doctor who prescribed the antidepressants to you so that they can take the best course of action.