The Sopranos is the only thing I've seen that features therapy, as far as I can remember. I don't remember liking those scenes particularly much, though. (Nor did I dislike them - I simply don't remember much about them, so I guess they left me cold.)

Oh yeah, the wife in Mad Men goes to psychoanalysis at the start of the first series, doesn't she.... that was horrible, though. I hated that. Mostly because it played right into my nightmare scenario about my husband finding out about my psychological issues.