Alcohol can affect people in all sorts of ways. Primarily, it acts as a depressant in the brain, producing a sense of relaxation and sedation. Most people experience these sensations as pleasant and will sometimes use alcohol when they feel worried or sad in order to "feel better." The lift in mood, however, is only temporary and is often followed by symptoms of withdrawal. As alcohol leaves the brain, feelings of anxiety, sleeplessness and sadness often follow.
For some regular drinkers, this cycle of intoxication and withdrawal can result in a clinical depression or anxiety, requiring psychiatric intervention. The severity of withdrawal depends on the amount of alcohol consumed, as well as an individual's sensitivity to it.
Remember, everyone's brain chemistry is unique and having a "one size fits all" mentality in regard to alcohol and medications just doesn't work. While your friends might be able to toss back a couple and feel fine, this clearly is not true for you.
It would be wise to cut back on your alcohol use. If, despite doing so, these symptoms continue, you may want to consider cutting out alcohol from your diet altogether. If you have difficulty abstaining from alcohol because of cravings or social pressure, you may wish to speak with a physician or therapist about potential treatments.