Hi there,
Any Cyst in our brains is worrying just for the fact of it being there. I have an Arachnoid Cyst myself. I popped off and looked up Pineal Gland Cysts, and found this article:

http://radiopaedia.org/articles/pineal-cyst

It may be of some comfort to you to see that they are commonly found in young people like yourself, and if your Dr has diagnosed it as a Cyst there is a great deal of difference between those that are benign and other Tumours. Do NOT let this stop you seeing your Dr for a full explanation and reassurance.
Of more concern to me are your Anxiety Attacks and Depression. My Depression is a lifelong condition, and I suffered my first extreme Panic Attack out of the blue at 22. Are you receiving treatment for these issues? It is most important, rarely do they go away on their own.
If you would like to talk about anything at all, I am always about.

Dave.