For now, my knitting is a stress reducer, but that may change as I learn more and begin complicated patterns.
We were recently at a party and I was talking with a couple about the time they spend on Facebook. This is the way they relax in the evening. When asked, I replied I relax with my knitting needles, but didn't include that I actually have something to show for my relaxation in the morning. That's really the important part for me. Even when a project isn't going well and causes frustration, the feeling of accomplishment upon completion makes up for the frustration.
I agree with Sioux, it is Cheap Therapy. But I'm not certain my husband would agree when I'm buying yarn:-)