When my doc suggested adding a progestin we originally went with Prometrium. When I got to the pharmacy however I was floored by the price, about $220 for one month. As a cash paying patient this was unacceptable. We ended up going with medroxyprogesterone (provera) which is much cheaper, $15 for a month is doable for me.
As for depression, it wasn't an issue. I'm sure my SSRI's have something to do with that as I have heard from many that progestins have caused them depression. I did notice that my breasts became more tender and swelled some, which wasn't a problem for me. I'm not sure about Prometrium, but the medroxy has the added benefit of helping to block "T". This of course will be different for everyone.
I'm defiantely under the care of a medical professional, and if you're not you should be. Cancer, liver damage, heart disease, blood clots, strokes and embolism being some of the more serious risks associated with HRT. When compared to these depression pales in comparison.