Effexor and horrible time

I have been on Effexor since December 13th. I am finding that this drug is not very helpul at all. I am experiencing headaches, nausea, my depression does not seem to be any better over the past 3 months. My dizziness is what is really bothering me I feel like my head is in the clouds all the time with a constant tightening feelin my head and neck. I wake up every night with a feeling on hotness and shaky eyes. I am trying to get off of this drug but find the side effects are so hard to deal with. I feel some days like I am going crazy and it takes every ounce of energy I have to not loose control. After trying 3 other antidepressants Effexor has been the most difficult to come off of and the the drug with the most side effects.
Anyone with any helpful tips to help deal with this horrible time in my life would be very much appreciated.

I have been on Effexor Xr for about 2 years now,before that I was taking Zoloft, and Zoloft, while it may be great for some people, wasn't the right choice for me. Now (from 25 mg a day) to currently 300 mg a day I take Effexor Xr. Not only is it supposed to be treating my depression, but also my obsessive compulsive disorder. For the first few months it almost elimanted my OCD and greatly reduced my depression. But now I feel as if the drug isn't doing me much good. I am going back into my depression cycles where I have crying fits in which all I want to do is sit in the dark in the back of my closet and cry. Being at college, that is now harder to do, and harder to keep from my room mates noticing how big of a toll it takes on me. I have also been experiencing difficulty sleeping in which I wake up every couple of hours, even with sleeping pills I am not able to sleep a full night through. Although I am not sure if dizziness is a side effect of the drug, but when I stand, or even barely move sometimes my head just spins. And I didn't associate this before with the drug, but I heard other people say that they get itchy too. I have also been itching- weird itching not just one spot on my arm but like all over, legs, stomach, arms. I know Effexor Xr may be great for some people-but it is not for me. Although I don't want to jump off the drug because I have done that before (without my psychiatrist, therapist, or family doctor knowing) and I had a horrible time coming down off of that. I just wish that I could feel normal again- because I miss the way the feels!