It is that empty feeling inside you feel when you have been crying for hours, but without shedding a single tear. There is usually very little crying involved, because sweet depression takes away all your feeling. You want to express that sadness through releasing tears, but they never come.
When you are happy, there is always that reminder in the back of your brain that you will come down from this, and you will probably come down fast. But when you are up, you are so high, your mind is shouting to yourself with a tone of saccharine promise "I won't be sad again! I have nothing to be sad about! I am lucky to be alive, now I am going to live my life and be HAPPY!". It is almost like being drunk, being happy. It is temporary madness that leaves you with interesting memories and confusion to why you were like that in the first place.
It is sickeningly comforting, knowing that depression will always be there for you. At the end of a long day, after a party, in a few months time... depression will be there. But it won't greet you with open arms, no, that's not it's style. It will great you with the gradual disintegration of your mind, a sadistic smile and some cellophane to watch the rest of the world through.