It's awesome. I've been going for a little while now. I'd seriously recommend it to anyone that is thinking about it. It can be costly, though, so be aware of that. Fortunately my insurance pays for it 100%.
Disclaimer: this is 100% my experience. I have absolutely no way to know if this is typical.
Anyway, when you first go, you go over the basics: why are you here, what was your childhood like, do you have any goals, etc. After that session, it's all up to you what you talk about in the sessions. Mine is usually a mix of things I have been thinking about during the week or events that occurred and my reactions to them. When you know you are going to talk to someone for an hour a week about this sort of thing, it puts you in a forward-thinking and analyzing mindset when you go about the rest of your life. This contemplations in itself is helpful, and then you get to sort of "digest" it in your session.
My therapist doesn't give advice or guidance. He just sits back and observes. It was a bit weird at first, but I know why he does it: to let you develop your own solutions. He'll chime in with a thought or musing that has a great way of "grounding" what I'm thinking about with some reality. For me, it's usually about how atypical a response of mine was to a situation. He's also extremely good at proposing alternative ideas or reasoning for why things are the way they are. Finally, what I think is most useful is the way he can "connect the dots" between issues or experiences that I wouldn't always associate with each other. This going deeper is what makes the difference. If you are like me, you think about things a billion times and how to solve them, but when you are stuck in your same perspective, you don't really get too far before running down the same paths you've gone down before. What's great about therapy is that it can show you things that you missed before. It really opens things up.
I also joined a group on relationships. The groups are a bit weird at first, but actually really helpful too. I am usually extremely reserved about sharing feelings in a group, but you warm up to it. No one has relationships with people outside of the group, it is all confidential, and you can always just leave the group if you don't want to be in it any more. For these reasons, people are usually surprisingly frank. The group sessions operate a lot like the individual ones, but the feedback comes mostly from the group and less from the therapist. My group is great at throwing out helpful things, giving advice, and generally helping with perspective. This is sort of like the talk you'd have with a group of 8 of your best friends, if you could actually talk with them honestly about issues you are having. Sometimes people talk about dumb things, but most of them are pretty deep and interesting.
Anyway, I came in with a pretty specific goal of working on relationship issues, but I've come to see that there is a lot underneath the surface that I would have never picked up without therapy. The progress on these problems is slow, and it definitely takes time, but there's no denying that it is a step in the right direction. I feel fantastic whenever I go to either session. And as I said, this is coming from someone who is usually extremely reserved, especially with feelings. I don't really know how long I'll be going. I'm not expecting an epiphany moment where it all makes sense, but I think I can make some progress here.
PS: I also spend a lot of my free time reading about the issues I'm working through. It's also helpful, but it isn't near as helpful without the therapy.