re: Finished the Sopranos last night. Obvious Spoilers

The shrink thing is just a dramatic conceit of the show that allows for a different perspective on the traditional mob boss. It allows for a peak inside the mind of someone in Tony's position that as far as I know hasn't ever been shown in that same way. You get to see an exposition of his motivations, his thoughts on family, his upbringing and how he became how he is, etc. It was used to ask questions like if he was capable of change. And more. It isn't something that I would use to criticize the show for not being realistic. It's kind of used as a soliloquy as a device. It is deliberately ironic, and the show even makes fun of its ridiculousness.