Well despite the images we all see of the crazy merc with a mouth. On the disgusting burnt insides we have a horribly depressed and sad man. Who's last wish is to be able to die and get this all over with. Deadpool has to be the, or at least one of, the most depressing comic book characters ever created.
[spoiler]Juan lyke meens Durdpoo haz wun smeele :)[/spoiler]
http://i.imgur.com/axRE0Jz.jpg
Second incredibly sad moment from Deadpool. He refers to himself as Pagliacci the clown.
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At his core, perhaps, but I also think many other characters in comics fight with their underlying depression. Just think of all the horrible things protagonists in these comics have gone through. However, one of the beautiful themes about these heroes or amazing beings is that, despite how difficult the challenges they face are, they always overcome the odds in the end. I'd count depression as one of those challenges they face. There's no denying they live with these burdens, but the stories come from how they defy them.