Why is Hamlet called the first modern play?

Hamlet is considered the first modern play partly because of the psychological depth of its main character -- Hamlet suffers from melancholy, self-doubt, and even delusions. The audience never quite knows what Hamlet is thinking, or what is real. In fact, Hamlet himself declares again and again that he doesn't understand his doubts either ("I have of late, but wherefore I know not, lost all my mirth.")