I definitely need a good 15-20 minutes to "come down" right after getting off stage. Usually I'll make a beeline to the exit and just sit in the fresh air, but I've been in situations where that wasn't feasible and I get a little claustrophobic. At the end of the night, however, I'm too busy dealing with moving gear, giving people rides home, talking about next show/practice and whatnot to get depressed; I generally crash out right when I get home. Exception being if it was a notably poor show for whatever reason (turnout, my performance, bandmates' attitudes etc.) then I'll start tripping on whatever went wrong.
What I have been getting a lot lately is pre gig depression. Somewhere between load-in/soundcheck and getting back on stage I just feel this wave come over me. It's not even stage fright (which I do get) it's just a sense of purposelessness. I usually go backstage if there is one, or outside, or into a dark corner.
I feel you on the tour come down, too, Slough Feg. You wake up the next morning assuming you're already behind schedule and need to get moving, only to find you have no where to go. Bummer.