The vast majority of anti-depressents need to be weaned down gradually over a period of a few weeks (longer, potentially 3-6 months, if the course has been a prolonged one). Withdrawal can be unpleasant with symptoms such as chills, mood disturbance, nausea, diarrhoea, headache, insomnia and panic.
The precise set of symptoms depends on the type of antidepressants, with the more modern drugs like Prozac and Seroxat (also called Paxil) being particularly troublesome.
Although potentially highly unplesant, there is relatively little research that suggests that there is significant risk or long-term injury attached to withdrawal as in most cases it is easily treated by reinstating the drug and weaning it off more gradually.