In response to Peggy's comment that the writers have settled for psychotherapy as a plot device, I would argue that it's always been that way. Historically, psychotherapy appears in so many films for the same reason. It gives the audience a chance to see a hidden side of the protagonist that we otherwise wouldn't see. So it is with Tony's therapy since the first episode. It's true that Dr. Melfi becomes a character in her own right and the therapy itself becomes a subplot, but people don't watch The Sopranos primarily for the psychotherapy scenes.
I think I have to agree with Peggy's view that the therapy is not helping much. After all of Tony's pangs of conscience about Gloria's suicide, you'd think he might have learned a thing or two. But Valentina is simply a Cuban version of Gloria. At some level, he knows this can't end well, but he can't help himself. His triumph over Ralphie is just as powerful a motivator as his conquest of Valentina.