Did for a while to tackle depression; standard small notebook at home, nothing special. Gave up after starting a blog. I guess I just needed to talk.

Can't say that I "journaled", as I tried just a couple days.

But it was somewhat interesting, and it helped me to clarify some "shady" aspects of my thoughts.

Probably it's more effective if you're brutally honest about your feelings, to address the situations you're facing.

I've noticed that it can help you to organize and prioritize things: once it's written, many things just become more evident that aren't worth pursuing.

Hope it helps, somehow.