N2O might be just as effective as ketamine, in treating severe depressions. But i don't think it is as addictive, or risky. NMDA-antagonists are far more effective than all of the conventional anti-depressants, but most of them are dangerous, addictive or harmfull.

Laughing gas does not realy have any such harmfull effects. Vitamine B depletion becomes an issue only when it's taken regularly, but taking it more than once isn't required for it's anti-depressant effects to work. If you inhale it from a balloon, especially when you make sure that there's already some air inside the balloon prior to filling it with gas, oxygen depletion is not an issue either because in the worst case you'd pass out way before all of the blood becomes saturated with the stuff, and the moment you pass out, you will begin to breathe normally again.