Well, frankly there's no comparison. Job losses in the most recent downturn, bad as they've been, have not begun to approach the losses during the depths of the Depression, when the national jobless rate was around 25 percent. It's worth noting, however, that back in the 20s and 30s the government was not able to keep the kinds of statistics that are available today. From economist Steven Haugen (via Calculated Risk):
Throughout the Great Depression, there was little information on the extent of unemployment in the country. More important, there was no good way to assess whether the situation was getting better or worse. The wealth of timely statistical information on the labor market that we now take for granted simply didn't exist. Throughout the 1930s, researchers grappled with the issue of how to measure unemployment. To begin with, there wasn't agreement on how to conceptualize or define the condition. Simply asking those out of work if they "wanted" work or if they were "able" or "willing" to work proved to be too subjective to serve as unemployment criteria. At the same time, attempts to gauge the number of jobless by looking at declines in employment or counting the registrations at public employment offices were found to be incomplete.
By the way, the second dip during the Depression was in 1937 and came as a result of austerity measures.