You ask a really good question. So many of the anti-depressants cause side effects and most people are either concerned with the weight gain or sexual dysfunction.
I was on Prozac (not long at all) but for me, it made me not want to eat. Just goes to show you that everyone has a different chemical make up and will respond differently to meds.
I researched your question and found an excellent article on MSN where a doctor spells out which meds he feels will least cause weight gain. Here is that article and here is a quote from it which I think you will find helpful:
"...there is a category of antidepressants that seek to balance the brain's naturally-occurring chemicals, serotonin and norepinephrine. These drugs are not likely to cause weight gain in the short term and have a low tendency to cause this problem over the long term. Medications in this category include nefazodone, venlafaxine and duloxetine. A medication that also works with the brain chemical dopamine is bupropion. Bupropion is unlikely to cause weight gain, and in fact, may cause some weight loss. It is also used to help people quit smoking."
Also found a forum where Wellbutrin is mentioned by some as one medication which does not have the side effect of weight gain. You can read more here.
I think your best bet, though, is to talk more with your doctor about this issue. Everyone reacts differently to the drugs. You may have to try a few to see what works best for you.
Hope this helps and thank you for your question!