According to a news report in The Register, people who drink coffee are substantially less at risk from depression than those who drink sweetened drinks. The article reports:
"Cutting out or down on sweetened diet drinks or replacing them with unsweetened coffee may naturally help lower your depression risk," says Dr Honglei Chen of the US National Institutes of Health.
They further report a statement from the American Academy of Neurology on the research (my emphasis):
People who drank more than four cans or cups per day of soda were 30 percent more likely to develop depression than those who drank no soda. Those who drank four cans of fruit punch per day were about 38 percent more likely to develop depression than those who did not drink sweetened drinks. People who drank four cups of coffee per day were about 10 percent less likely to develop depression than those who drank no coffee.
This sounds like a pretty big relationship (though the direction of cause and effect is unclear). So the question is: is this a reliable result? Is there a significant relationship between coffee consumption and depression, or, in slightly populist language, does coffee make you saner?