Start with a regular local ring $R$. Take 2 ideals $I,J$ such that $I$ does not contain $J$, $R/I$ is CM and $\dim R/J <\dim R/I$. Then $A=R/(I\cap J)$ and $M=R/I$ work. In your example, $I=(x)$ and $J=(y,z)$. The reason is that CM means unmixed, so by having components of different dimensions one makes sure A is not CM.
Take $(A,m,k)$ to be any CM rings of dimension at least 2. Let $M=A\oplus k$. Then for any non-minimal $P\in Spec(A)-{m}$, $depth M_P =depth A_P$, but $depth M=0$.
The common theme: depth is usually the minimum depth of all components, while dimension is the maximal of those.