It's also been shown in experiments to be beneficial: see e.g. http://psycnet.apa.org/journals/ccp/63/4/644/ http://psycnet.apa.org/journals/ccp/65/2/324/

I know there's also another study that compared it to a placebo book instead of just a waiting list control group, and it was better than the placebo book too.

That's what I and my ex girlfriend used. She introduced me to it. :)

It's a slightly different branch of therapy called CBM (cognitive bias modification), but research shows it to be just as effective, while being much simpler (IMO). Here's an interesting documentary that deals with it: https://www.youtube.com/watch?v=rs046iOPlqM

People need the ability to heavily filter input in order to function properly. Failure to do so (i.e. over-sensitivity) is strongly correlated with issues like depression/anxiety/autism and a whole slew of other things. Just think of how many faces you see when you walk down the street, and how many of those you actually remember just a few minutes later -- that's your selective attention kicking in to prevent you from getting your memory overloaded with useless information. Same thing here.

It's amazing just a few days ago there was an article on the front page about how tripping on LSD or Magic Mushrooms was life changing for the better.

Sometimes depression is caused by lack of sunlight, exercise, poor diet, bad environment (stressful) and other times it's caused by seeing the world for what it really is: A depressing cesspool of suffering, death, meaninglessness, and no purpose or hope. Sometimes all it takes is realizing that the universe and laws of nature are "evil", rewarding the most violent and aggressive species while punishing the weak or passive with miserable deaths, is all it takes to fall into a subtle depression. CBT teaches you to recognize the pattern of thinking that leads to those thoughts and training yourself to stop before you reach that state of mind.