Vitamin D supplements are very well attested to work, but it's true that some other kind of supplements either don't matter or aren't really bioavailable to humans. Those chewy multivitamins and plant-based omega-3 sources don't seem to really help anything, for instance.

By the way, omega-3 from fish oil has strong evidence of an effect on major depression[1], but not the everyday kind. And that doesn't mean take it just in case, it could be bad for you!

[1] http://examine.com/supplements/Fish+Oil/