The best SSRI's for Social Phobia and/or Depression are Paxil or Zoloft, having failed those Luvox, Effexor (SNRI) or Prozac, if those have all failed, Lexapro or Nardil (MAOI).
Paxil - This may be the best SSRI alone for Social Phobia, although not that great for Depression in most cases. It is generally tolerable, although sexual side effects and numbness are common. It is more an anxiolytic than an antidepressant - that being because its effectiveness for Anxiety is high in comparison to Depression. It is usually the first medication prescribed for SAnD.
Zoloft - This is possibly the best SSRI (conceivably an SDRI) for someone who suffers a combination of Social Phobia and Depression. It is usually tolerant, although sexual side effects and diarrhoea are common; diarrhoea in the early stages. It may be anxiogenic during early stages, this should lift and it should eventually become anxiolytic. It may take longer to become beneficial than Paxil, perhaps over eight weeks. It is also a common first choice medication for SAnD or Depression.
Luvox - This is also effective for Social Phobia and Depression, perhaps not as effective as the top two medications for SAnD (Zoloft & Paxil). For Depression, it is effective and perhaps as effective as Zoloft for Depression. Its side effects are pretty tolerable, although nausea and headaches are commonly reported. It is overall a good choice, but its side effects are generally less tolerable than Zoloft or Paxil.
Effexor - This is a Serotonin, Noradrenaline reuptake inhibitor. I don't see it being any more effective than Luvox for SAnD, in fact probably less so. It is possibly more effective than any of the medications above for Depression, because of its action on Noradrenaline - which seems to be associated with Depression. This action isn't really beneficial for SAnD at all, in fact it may make it worse. The side effects are pretty similar to SSRI's - although sexual side effects are less common. It will undoubtably work for some cases of Social Phobia though.
Prozac - This does work for Social Phobia, less often than other medications above (except Effexor). It is also particularly effective for Depression - in fact, that is probably its best use. It is tolerable, with sexual side effects commonly reported. It may be anxiogenic during early stages of treatment, although this should lift within a week or so. It is a good choice if Depression is more severe than Social Anxiety (about 1:3).
Lexapro - This is effective for Social Anxiety and Depression, but perhaps not as effective as other medications such as Paxil/Zoloft for Social Anxiety or Effexor/Prozac for Depression. Sexual side effects are common with Lexapro. It should definitely be considered before moving onto different classes of medication.
Nardil - This is an MAOI instead of an SSRI, SNRI or SDRI. It is effective for Social Anxiety, perhaps more so than Paxil in some cases. It is also effective for Depression. The only downside to Nardil is its side effects, it is dangerous in overdose and includes dietary restrictions. It also shares some of the side effects of the medications listed above. It is negotiable whether Nardil is the most effective medication for SAnD. It positive effects may 'poop-out' in some people, but not always.
Conclusion - If your Social Phobia is much worse than your Depression, or you don't suffer from Depression, your best option is Paxil, Lexapro, Nardil, Zoloft or Luvox. If you suffer from both conditions equally, it is best to choose Zoloft, Luvox, Nardil or Prozac. If Depression is the main issue, Effexor, Nardil, Luvox or Prozac are useful medications. Obviously, for some people this may be different. It is best to undergo self-help or CBT along with medication to prevent remission.