Jen,
I am currently doing research and writing a piece to go here on medication, but for the time being, you can read everything you need to read on Zoloft from:
I would recommend you read each in great detail, highlight any points of concern, then do a search for the rxlist site for other anti-depressants, read them and view their side-effects vs. harm, and talk with your doctor about what you think is best, not what they think is best.
Doctors prescribe what they are comfortable with, and what they know, not neccessarily what is best for you. Medication is a huge trial and error episode with you and your doctor, to find what works best. Most medications do have a lead in time, where you will have significant side-effects for the first week or two, but should go away. If they don't, then you really need to change medication.