My current therapist talks about this a lot - he uses a combination of mindfulness and CBT. Vertigo explained it really well. Another way to think about it (I'm getting this from my 'mindfulness workbook') is the difference between "doing" and "being" mode. We spend most of our time in "doing" mode - going through the day on autopilot without really being fully aware/present in the moment (like when you drive a familiar route and when you arrive realize that you don't really remember getting there). "being" mode is doing the best you can to be fully aware of all your senses and thoughts without judging. For someone like myself who tends to catastrophize physical sensations, the difference is feeling my heart pounding and instantly going to "why is it doing that?? something is really wrong!!! I'm having a heart attack!!) to feeling my heart pounding and simply acknowledging the sensation and the thoughts for what they are (sensations and thoughts). I find it very helpful for anxiety, not so much for depression.