9. "It's all in your head."
Ah, the inevitable reference to inventing the sadness that plagues you. There's nothing like struggling with something every single day of your life and then having someone tell you that you're making it up.
Depression is real, and it is serious. If you think that people are making it up, we suggest that you check out the DSM IV.
If you broke your leg and someone told you "it doesn't hurt, it's all in your head," how would you feel? Probably pretty angry at them and like they do not understand what you are going through at all. That's pretty much how it feels when people with depression are told they are making up their experiences.
Alternative: Instead of saying "it's all in your head," tell them that their feelings are valid, real, and that many people go through them. Tell them you are there for them, and mean it.