If you read the list of common side effects of just about any psychiatric drug, you'll notice that they are almost always all physiological effects. Things like dry mouth, dizziness, sleepiness, etc. Very rarely are any cognitive or psychological side effects included, even though many have been documented extensively. Mental side effects such as mania, suicidal ideation, increased anxiety, and more rarely delusions and psychotic behaviour, are actually very common.
In very many cases, a certain drug will work great for a patient, while the others in its class will have a decidedly negative effect -- sometimes even worse than the symptoms which prompted the prescription in the first place. Since psychiatry is far from an exact science, it is often a process of elimination when looking for suitable medication(s) for an individual.
Prime examples of dangerous physiological and psychological side effects can be seen with fluoxetine and paroxetine (known commercially as Prozac and Paxil. These antidepressants are very strong inhibitors of the CYP 2D6 enzyme, but are also metabolized by the very same enzyme. This means that for people that are already genetically lacking a normal level of CYP 2D6 (about 7% of caucasians), the drug does not work the way it is supposed to, as it is not cleared out of the body correctly. If you or someone you know is considering taking either of these drugs, I would suggest you ask the prescribing physician for a test of the patient's enzyme levels first.
Sources:
http://www.womenshealthpc.com/3_99/pdf/177PharmRounds3_99.pdf
http://www.livejournal.com/users/vorpal/371244.html