I have a support system in place that helps me deal with the stress and the emotional weight that this job entails, but there is no substitute for the intensity of focus and subsequent benefit that one gets from a psychotherapy session. I would be hard pressed to find someone to provide me therapy in my current setting. In the past, I had a coworker who was also a pastor that was helpful for some debriefing.
*edit* I never really answered the initial question. I have had some limited individual therapy during my training and have been involved in group therapy for a long time. I don't feel that awkward about it because i realize that it is really me as the patient that is doing the work. In fact, I have done good work with some crappy therapists, one of them ran from the room crying once because I was going too deep into my relationship with my father and it struck am nerve for her. It does work better for me when the psychotherapist has more ability. It just isn't as necessary when you reach the point where you see that all relationships can be a learning and growing experience.