I've journaled for about 2 years now to deal with MDD and GAD. I find it helpful because I can write out my thoughts and think about them myself or discuss them with my T, and to keep a record of my feelings and what kinds of thought patterns and behaviors I keep repeating, or where I've changed. It's also written into my treatment plan that I WILL journal. I also alternate with a blog.
www.296point3.blogspot.com