MyNameIsBob mentioned a lot of useful things. Most of them are for times when things get really bad, it's important to know these resources.
I'd just like to mention it doesn't have to be at a stage where it is really bad and your at your absolute lowest for you to talk to someone or get help.
I think it's harmful if we make normal human feelings into a medical diagnosis. Everyone feels sad or lonely or out of control from time to time. It's also
normal to feel like this for a chunk of time. Some people call these things depression or anxiety but these are really just the normal ups and downs of life.
However, when it becomes a constant part of your life, when feelings like these keep visiting you and they start having a significant impact on your life in general,
it is worth speaking to someone about them. There almost seems to be a view in a large part of our society that people can control these things or they're simply weak. You have to be a pretty
strong person to put up with things like that.
It's just as out of your conscious control as any other disruption to someones health. We don't see people going up to diabetics and telling them to stop babying themselves with all this insulin stuff, that they're weak and telling them to just get over it. Any kind of mental health issue is just as out of a persons conscious control (thats why it becomes a big issue afterall, rather than regular daily emotion) as something like this. It would be silly to suggest a diabetic stop taking their insulin and try make themselves better or walk it off, they need help to get better. Mental health issues are much the same.
For those of us in
uni, it's worth seeing the counseling services or GP's available. For those still in
high-school, it's tough dealing with these things. You don't have a lot of the independence uni brings and it's hard to explain these things to your parents. No one should have to suffer though. It's very much worth talking to your GP or your school counselor. Like i mentioned above, problems like these are just simply out of our control. Much like the diabetic, sometimes, we need trained people to help us get through these things. It's definitely worth a shot, there isn't much to lose. Either you'll be much the same or there will be the very real potential to
get better.
These people can be very helpful 
If it's a more serious or chronic problem, treatments like counseling or medication actually work rather well. The person treating you won't make you do anything you don't want to do, so, don't let this stop you. Medication in a fair few cases might only need to be taken for a short term (not the rest of your life like a lot of people think) to help change things. Counseling is very useful in building up your coping skills that you might not have had previously. You don't only get well, you actually get
better, you develop some resilience you didn't have before. All these things are very useful, so, don't be afraid of seeking help.
There's plenty of info available on google.
Medicare will cover most of the cost of counseling if you see your GP first to get things sorted.
Community psychological groups like the
Krongold center (near monash) or
Drummond Street (in carlton) are low cost and won't deny someone care because you lack the ability to pay.
All things worth keeping in mind.
Things can get better. Sometimes, things are just simply out of our control, we're not to blame and we might need or want some help to get better. There is no shame in this either. In a Country like this, there are plenty of people who care and numerous resources available.
Don't be afraid to speak to someone or get help.