It's not depression exactly -- Wendy has Crohn's Disease, which is a very difficult disease to live with and to manage. That's not a secret BTW, she makes it known to her fans. I suppose the disease is enough to make one depressed (understandably so) but it's not actual depression she suffers from. It's an extremely painful chronic disease that makes life very difficult for the people who suffer from it. The chemo she is referring to is for that, not cancer or anything else.
I have ulcerative colitis and it sucks. The meds make you weak, depressed, and crazy pending on how much prednizone you take. Many of the same meds she could be on.
Just want to say I can relate, and there is hope... Personally, I have a particularly nasty version of ulcerative colitis, that when active is really bad. UC is a slightly different form of Inflammatory Bowel Disease from Crohn's, each seems to attack a different locality of the digestive system, but both are Auto-Immune Syndromes - your own body attacks itself. Strangely enough, two people can have Crohn's, or two could have UC, and each pair with same disease can experience different symptoms - it's weird stuff.
Where I'm going with this: I just want to encourage Wendy to not avoid treatment - it takes a good gastroenterologist and often some trial and error to find the right combination of treatment that's right for you. There are a number of good options that help a lot of people - but there's no instant panacea.
It's not for everyone, but the immuno-modulators out there (e.g. mercaptopurine), and the immuno-suppressants (likely the chemo she mentioned, injection or IV-introduced "tumor-necrosis-factor blockers" that slow down the chemical "raygun" used by the white blood cells) can help a lot, and usually are easy to live with. I know from her writing that Wendy is both intelligent and strong - she's likely already done her research - I would suggest to her that she not procrastinate: these treatments can be life changing. Thanks to these and a few other items in combo, I've been in remission for years with no real symptoms other than very minor occasional soreness and tiredness (that really could be anything...). Yes there are risks involved, but in situations like these, ultimately we often find we need to make a quality-of-life tradeoff decision.
Corticosteroids like prednizone, as MobyNick mentioned, can have some nasty side effects and definitely can make you a bit crazy depending on dosage (I have personal experience with that). They can work, but can be tough to live with long term. I try to live without them...
There are anti-inflammatories (varieties of mesalamine) that can also help a lot - I use a type that is time-released at the large intestine (target area of UC). These also made a difference. Last but not least are probiotics - it's easy to get pretty good ones over the counter, and work/help for some.
Most important is to not give up hope - and I suggest doing what can be done to control depression, it adds to the overall problem. A little bit of therapy and some properly prescribed assistance

can work wonders.
To Wendy and everyone out there who has to deal with these issues - I wish you the best of luck in finding your combination that helps you, and hope you feel better soon.

-D'Artagnian