I did it once to quit smoking. It was an interesting and rather pleasant experience and it allowed me to stop smoking for a few weeks without cravings so I know it works moderately well. Prior to that I would not be able to last more than 3-4 hours without a cigarette without getting all kinds of symptoms. After one (2 hour) hypnotherapy session I stayed smoke free with almost no symptoms for weeks. Mind you I started again for stupid reasons but are now a non-smoker again (quit three months ago cold turkey method).

Hypnotherapy programs your sub-conscious mind to be in tune with you conscious mind so it's very useful for things like bad thoughts, bad habits and some addictions.