Zoloft + Marijuana. From my experience, too much marijuana seems to cancel out the effectiveness of the Zoloft. Frequency and the amount you're smoking will make a big difference here, as will your dosage of Zoloft. I was a daily smoker and on 50mg. I found my depression was much worse when I regularly mixed the two. Just a day or two off from smoking pot, and the Zoloft was working again in full force. Moderation is key.
Zoloft + Alcohol = Wort hangover EVER. A glass or two of wine every now and then is fine, I've never had a problem with that. I got drunk once, and everything was great until I woke up the next morning. I was extremely depressed (lasted for 2 days), had a brutal headache, and was sick to my stomach. I care too much for my liver to do that again!
I'm weaning off of Zoloft after much research into the drug, and into pharmaceutical companies in general. I personally found St. John's Wort to be effective without some of the nasty side effects that Zoloft can bring. Hope this helps a bit.