As was mentioned antidepressants are powerful drugs that alter the levels of neurochemical transmitters in the brain. Any drug that works on the brain is more likely to have serious side effects, and these are no exception. Luckily, there are a variety of them on the market, all of which have different side effect profiles, so it is sometimes a matter of trial-and-error to find the one that is just right for an individual. The thing is, the beneficial effects tend to increase with time, while the side effects decrease with time, so that the first couple of weeks can be frustrating - lots of side effects, few beneficial effects. It is important to stick with them.
Oh, and yes, you can be allergic to them...you can be allergic to ANY drug. It certainly isn't all that common with antidepressants, but it can happen.