Both Skyrim and Oblivion have helped me immensely through difficult times, purely because I can get so immersed in them that I completely forget about the bad things that are going on for a short time. Then I find that having cleared my head like this, I can approach the situation I'm in and can handle it more rationally.
That and the fact that I know my way around Cyrodiil and Skyrim better than the area I live in.