I did four years of CBT and it was brilliant for me. I hadn't been through any horrible experiences like the above posters, I was essentially just a person who would latch onto thoughts and allow them to become terribly self-destructive. Nowadays, whilst I can't stop myself from the thoughts appearing, I can cope with them. For example, if I say something to someone which comes across as stupid, I once would have allowed that to circle and tighten in on me, going over and over it for days in my brain and would usually wind up with the conclusion of 'you're so stupid to have said something like that. No wonder you failed that exam/your friends didn't want to hang out with you last week. You're just such a worthless human being. Just stupid and pointless and pathetic' - over hours, days and weeks it would eat me up and I would usually wind up self-harming quite horribly.
Nowadays if I say something stupid, I still think to myself 'oh god, that was such a stupid thing to say, you sounded like an idiot, oh god, what if that person's judging you...' but manage to keep a handle on it. Instead of letting it get to the point where a week later I'm still thinking about it, hating myself and self harming, CBT has helped me to stop, take a step back from the situation and try and see it in an objective light. Instead of letting it overtake my way of thinking, I think about how illogical it is to let things decend into that. I sit down and reason with myself about how little I would have thought about it if the other person and I were in each others' shoes, and how I'd have forgotten about it ten minutes later. Basically, it stops me from decending into the thoughts that tell me I'm worthless and stupid and pathetic and pointless because I don't let them get to that point any more. I sit down, talk myself through it, and it doesn't hurt me as much.
N.b. I must add that the great counsellor who took me through those four years was my second, and I tried one after she left who was also rubbish. In order to do CBT you need to have an outstandingly good professional taking you through it, and whilst I'm not saying it would work for everyone, regrettably I think there are some for whom it would work if it wasn't pedalled like mad by a significant number of counsellors who think that it's just a question of acting like Pollyanna and going 'Everything is wonderful!'. It's not about thinking things are great when they're not, it's about finding the objectivity and structure that your thoughts are missing.