Martyn Lloyd-Jones, the former pastor and medical doctor from London, described the importance of preaching to ourselves in his sermon on Psalm 43:
“Have you realized that most of your unhappiness in life is due to the fact that you are listening to yourself instead of talking to yourself? Take those thoughts that come to you the moment you wake up in the morning. You have not originated them but they are talking to you, they bring back the problems of yesterday, etc. Somebody is talking. Who is talking to you? Your self is talking to you. Now this man’s treatment [in this psalm] was this: instead of allowing this self to talk to him, he starts talking to himself. ‘Why art thou cast down, O my soul?’ he asks. His soul had been depressing him, crushing him. So he stands up and says: ‘Self, listen for moment, I will speak to you.’”
–Martyn Lloyd-Jones, Spiritual Depression (Grand Rapids, Mich.: Wm. B. Eerdmans, 1965), 20.