Some other points to make about him:
* While he published some devotional books under his own name, his most famous works were published under pseudonyms (like "Johannes de silentio"). The reason was his belief that each person must have an individual encounter with God; and that that encounter was best provoked by a kind of Socratic questioning. In his works, he rebelled against not only the state church of Denmark, but the hyper-generalizing philosophy of Hegel and other German philosophers of the time.
* He believed that human life was divided into three "stages of life's way": the aesthetic (living for sensual pleasure, like Mozart's Don Giovanni); the ethical (living according to a set of rules that applied to everyone - more praiseworthy than the first stage, but still not adequate); and the religious (called by God and in an individual relationship with him, as Abraham was; and perhaps incomprehensible to others, as Abraham's willingness to sacrifice Isaac might seem to us).
* He was indeed a depressive! But he was an acute observer of his times, and he has inspired a number of not-quite-as-depressing authors. In particular, Walker Percy's early works, The Moviegoer and The Last Gentleman, were inspired by him.