The placebo effect is real. A 2002 University of Toronto study of brain scans revealed that Prozac and a placebo worked on similar areas of the brain (Prozac, though, worked on more areas of the brain).
With antidepressant drug trials, the placebo effect is high enough to cause a full half of these studies to end in failure, which has set off fierce debate over whether an antidepressant is little more than a placebo with side effects. The focal point of the controversy are two studies by Irving Kirsch PhD of the University of Connecticut: