Why are smart people often most depressed?

I've noticed that many people on forums and in real life who are depressed also happen to be of above-average intelligence. You'd think that with knowledge would come happiness and perhaps some degree of control over one's life... But many smart people, so successful in other things, seem incapable of finding a way to achieve happiness or satisfaction.

On the flipside, it's much more rare in my experience to see a stupid person who suffers from the grips of depression. Is ignorance really bliss, or is it just that it's that much harder to deal with the real world if you're painfully aware of every negative detail of your life?