I battled with anxiety for a few months back and have finally managed to get through it, I know they are two different things (anxiety and depression) but anxiety basically removed my ability to lucid dream, mainly because I was lucky to get 3 hours of sleep or more a night, which was tuff. To answer your question, the first ever time I became lucid, it was the shortest time ever, and it lasted about a minute, max, but it was one of the happiest days I had experienced for a while, so yeah, it made me happy, and depending on what you do in lucid dreams really is the factor that decides whether or not you come out of it happy or sad.