I often cry during sessions, and I don't feel bad about it at all. (I'm pretty free with my tears generally.) I'm seeing a therapist for grief and depression issues, so the waterworks make a pretty frequent show. I might, while I'm reaching for a tissue, say something like, "I'm sorry! I'm so emotional today!", but it's just a formula, to help defuse the overwhelming quality of the outburst a bit. I'm not really sorry. In fact, crying in the context of therapy seems natural to me and can be very helpful to both you and the therapist.

I can't imagine trying not to cry if I felt tears starting up. I try hard to be as genuine and 'in the moment' during a session as I can, in the hope of getting as close to the heart of my troubles as directly as possible - also to help my very wise and caring psychologist in his efforts to help me by letting him see whatever is going on inside me.

I know it isn't easy for everyone, but I'd urge you to try letting it out if you feel yourself about to cry during a session. It can be a wonderful relief. A good therapist has a lot of experience with crying and will not be alarmed or judgmental.