This article is from the Depression FAQ, by Cynthia Frazier with numerous contributions by others.
A. Congitive therapy points out a number of misconceptions or "cognitive distortions" that affect the way we view ourselves. Some of these are:
1) All or Nothing Thinking: You look at things in absolute black-and-white terms. ("I don't think cognitive therapy will solve all my problems, so what's the point in even trying." "There's no point in getting started on this, I'm so far behind I'll never catch up.")
2) Overgeneralization: View a negative event as a never ending pattern of defeat. ("I always mess things up". "He's always late.")
3) Mental Filter: Dwell on negatives and ignore positives. (Example: your boss praises your report but wants a few changes. All you can do is dwell on the criticism.)
4) Discounting the positives: you insist your positive accomplishments "don't count" or are due to luck.
5) Jumping to conclusions: a) Mind reading ("My shrink only gave me half of the cognitive distortion list because he hates me." or b) Fortune-Telling --- arbitrarily predict things will turn out badly.
6) Magnification or minimization: Blow things out of proportion or shrink their importance inappropriately.
7) Emotional reasoning: Reason from how you feel: "I feel frightened therefore this must be really dangerous."
8) "Should statements": criticise yourself or other people based on how you think they "should" act or feel. "I shouldn't have so many cognitive distortions" "I shouldn't be so apprehensive about this". The only "shoulds', "have to" etc allowed are a) moral shoulds "Thou shalt not kill", b) Legal shoulds "You shouldn't try to smuggle chewing gum into Singapore" or 3) Physical Law shoulds "If I drop this ball it should fall to the ground."
9) Labeling: Identify yourself or others with their shortcomings: Instead of "I made a mistake" you think "I am an idiot".
10) Personalization: You blame yourself for something you weren't entirely responsible for or blame others and overlook your own behavior or attitudes.
The first step in cognitive therapy is to learn to recognise cognitive distortions. At first you feel like your whole mind is a hypertext document and every thought you click on reveals some cognitive distortion. To say you "I shouldn't have so many cognitive distortions" or "Now that I've recognised my cognitive distortions I should _easily_ be able to change the way I act or feel " are cognitive distortions. To say "I feel stupid and incompetant when I see that I am always making cognitive distortions, therefore I must be a total idiot" is a whole bunch of cognitive distortions.