Talk therapy doesn't work for me, because my emotions are experienced more nonverbally. For example, if I say 'I feel like I'm worthless', I'm putting a verbal label on what is essentially a nonverbal experience. So dealing with that verbal statement is ineffective, because it's doesn't touch the nonverbal source of that emotion.
In contrast, things like art therapy work on me, but it's rare that I find a counselor who does that sort of thing. So mostly I try to sort out my own problems, with the support of my loving family.
I think AS can present significant complications in therapy, because we think and feel differently, and certain therapies depend on certain assumptions that aren't true for some AS people. For example, cognitive behavioral therapy depends on the assumption that thoughts cause feelings, and so you can modify feelings by modifying thoughts. For me, the link only goes in the opposite direction. (To clarify, for most people it's bidirectional, for me it's one-way feelings->thoughts. Since CBT works on a thoughts->feelings mechanism, it's ineffective for me.)