I already have it so I know what it's like.
What SamStevens said.
I have anxiety and I know someone with depression. Depression is overall a much worse feeling that makes you feel as though you were in a downward spiral that you can't get back from no matter what you try. With anxiety, there are different forms of it, but your happiness isn't affected much (unless you have both anxiety and depression). You're more overwhelmed and nervous with anxiety, and I'd rather live with nervousness than with total sadness
Depression is a pitiful state to be in. Anxiety can be over come with a bit of CBT.
With depression you pretty much feel awful most of the time, and rarely (if at all) there is one day where you feel mildly content. I don't have anxiety (I think) but I do have issues with being social, and while it sucks I am a little grateful it isn't any worse than depression. I'd be worse off with depression than anxiety.
Depression. Anxiety looks horrible, I see my friend having breakdowns or not being able to eat around exams. At least with depression you can still function, more or less everything just feels numb to me. If anything it makes life easier.