It's impossible to think of depression and not associate it with feelings of sadness. In fact, many people use the terms almost interchangeably, saying they're feeling "depressed" when they are experiencing feelings of sadness or low mood. Feeling sad or down from time to time is perfectly normal and it would be totally unrealistic to expect to feel happy or content at all times in your life. Depression as an illness however is something far removed from feeling sad or low, although those feelings are certainly part of it.
When I am in a depressive episode I can wake up in the morning feeling very low, without any apparent cause for my mood. The darkest days cannot simply be described by the word sadness, that would be like describing Mount Everest as a molehill. Depressive feelings encompass sadness but also despair; hopelessness, that is a real lack of hope of anything being alright, ever; isolation; confusion; reckless disregard for personal safety; dislocation from the world in general; and, my case at least, anxiety.
Despite my depression, I do not confuse sadness with being depressed; I am only too aware of the difference. It is quite possible for someone in remission from their depression to feel sad without fearing they are depressed but equally, when I have depressive feelings, it can be hurtful to have them dismissed as "everyone has bad days, it doesn't mean you're depressed", no matter how well intentioned it may be. I have suffered with depression on and off for nine years, I think by now I can tell the difference!
One of the saddest things about having depression is the fear that I will never know what my 'normal' is again. Before I was ill I never had to think about what 'normal' for me was; I just was. Since losing myself to depression I don't really know who I am any more. I have made decisions whilst thinking I was 'fine' that, looking back, I can see were so far removed from how I would have behaved had I been truly well that I can't really bear to admit to having made them at all. I over-analyse everything now, trying to find my true feelings and my true self, and typically of depressives everywhere, I find myself to be something I don't want to find.