
It seems there is some science behind it:
[quote=Wiki]Gratitude journals may be one treatment used to alleviate depression.
An empirical study in 2003 showed that people who used gratitude journals felt better about their lives,[1][2][3] and report fewer symptoms of illness.[4]
In a 2005 study concerning gratitude, participants were randomly assigned to one of six therapeutic intervention conditions designed to improve the participant’s overall quality of life (Seligman et al., 2005).[5] Out of the six conditions, the longest lasting effects were caused by the act of writing “gratitude journals”? where participants were asked to write down three things they were grateful for every day. These participants’ happiness scores also increased and continued to increase each time they were tested periodically after the experiment; the greatest benefits were usually found to occur around six months after treatment began. This exercise was so successful that although participants were only asked to continue the journal for a week, many participants continued to keep the journal long after the study was over.[6][/quote]
http://en.wikipedia.org/wiki/Gratitude_journal
Most religions also install the practice of gratitude in their rituals. It seems it could help restore balance between the negative and positive thoughts (I think most people (including myself) can lean far too heavily to the negative).