Think I'm reviving a long-dormant thread, but anyways...
I adored In Treatment. Best thing I've ever seen on TV. I was devastated (ok, not literally

) that they didn't make a fourth series.
There used to be a great programme called 'Huff'. It only ran for 2 series, but it centred on the life of a psychiatrist, played by Hank Azaria (best known for his voice work on The Simpsons and for his role on Friends as Phoebe's geeky boyfriend David, who leaves her to go and work in Minsk). Paget Brewster (of Criminal Minds) plays the main character's wife. It also has Blythe Danner (Gwyneth Paltrow's mother), Oliver Platt and a young Anton Yelchin in it.
It's a sort of black comedy, I guess. But I really enjoyed it. Maybe you will, too!
I also just heard about a show called 'Michael Tuesdays and Thursdays', a Canadian comedy (I think) about a guy and his shrink. I haven't checked it out yet so can't comment on its quality.