I agree that the evidence is not widespread and conclusive - mainly because it hasn't been studied that much. But I disagree with your implications that it is less effective than drugs.
For example, from wikipedia:
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Through a Freedom of Information Act request, two psychologists obtained 47 studies used by the FDA for approval of the six antidepressants prescribed most widely between 1987-99. Overall, antidepressant pills worked 18% better than placebos, a statistically significant difference, "but not meaningful for people in clinical settings", says University of Connecticut psychologist Irving Kirsch. He and co-author Thomas Moore released their findings in "Prevention and Treatment", an e-journal of the American Psychological Association.[21]
More than half of the 47 studies found that patients on antidepressants improved no more than those on placebos, Kirsch says. "They should have told the American public about this. The drugs have been touted as much more effective than they are." He says studies finding no benefit have been mentioned only on labeling for Celexa, the most recently approved drug. The others included in his evaluation: Prozac, Paxil, Zoloft, Effexor and Serzone.[citation needed]
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Efficacy limitations and strategies
Between 30% and 50% of individuals treated with a given antidepressant do not show a response.[60][61] Even where there has been a robust response, significant continuing depression and dysfunction is common, with relapse rates 3 to 6 times higher in such cases.[62] In addition, antidepressant drugs tend to lose efficacy over the course of treatment
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http://en.wikipedia.org/wiki/Antidep...eutic_efficacy
There are also studies doubting the effectiveness of more modern drugs - at the least they don't seem to do any better than their older counterparts.
As for CBT, there are indications it is quite effective, and no indication that it is less effective than drugs. See below, for example, for the referenced studies. Apparently, the drug-CBT combo is a lot more effective than either drugs or CBT. But most doctors just push pills without the other, when drugs are both problematic and of questionable long term efficacy. IMO it'd be worth trying CBT and lifestyle changes before starting the long journey of getting a drug that works for you. Of course I know nothing about OP's situation, but I'm sure you'd agree he'd be well advised to research this stuff for himself.
http://en.wikipedia.org/wiki/Cognitive_b..._for_depression