After studying psychology at University, I have observed that many of the tests that a therapist will utilize are essentially just ways to get their patient talking. Talking about what is on their mind, from the Rorschach test, Dream Analysis, Talking about parents, etc.
Think about it though, what it gets for the therapist is information about what is bothering you so that you and he can start analyzing together what is wrong and the best method to address it. Sometimes it is obvious, sometimes it is more complex. That is a big part of it, but humor too is a big part of understanding a person.
In my own opinion, humor is one of the best means to communicate with another individual.