Does psychotherapy really work, or is it just a lot of nonsense?

I have suffered from depression and anxiety my entire life. My self esteem and self worth are at an all-time low, and I feel absolutely miserable and suicidal. My boyfriend has been through therapy and he says it did him worlds of good. I've tried therapy a couple of times, years ago, and it didn't do much for me at all. I realize that something has to be done, or I will end up shooting myself, but I'm so cynical about therapists. It's their job to tell people "No, you don't suck, you're not a failure....." and so on. How can I really believe that? How can I start feeling like I don't suck, and have to worry that people are laughing at me behind my back because I am confident in myself, that I'm just deluding myself? Sorry if this is confusing :(