"He is a wise man who does not grieve for the things which he has not, but rejoices for those which he has."
~ Epictetus ~
My most astounding experience with the benefit of gratitude was a practice I happened upon that eased my transition from a hectic day at work to a peaceful, enjoyable evening with family. On my drive home I would ask myself two questions,
Before using this process, my drive home was spent focusing on anything and everything that did not go well during the day. When I arrived home I was still consumed with thoughts of what I should have done or could have done. My resulting state of mind was negative and troubled. Not a great way to greet my loved ones. Certainly not a conducive state of mind to genuinely listen to the day's events from wife and children.
After starting this two question process on each day's drive home I found that my focus was much more positive; what went right was (modestly) celebrated and what didn't go right was a learning opportunity. This brought me closure of my work day well short of arriving home, allowing me to be in the frame of mind I really wanted to be with my family.
Though this is my personal experience, research studies are showing that both health and happiness improve with regular thoughts and acts of gratitude. See Gratitude and Your Health. for more on this topic.