Has anyone done a thorough comparative review of psychotherapeutic approaches? Have the efficacy of different psychotherapeutic approaches--e.g., ACT, CBT, DBT, Psychodynamic, Humanistic, Behavioral--been compared?

I'm sure each approach may be more or less effective depending on the individual and the issue being addressed, however, even a qualified comparative review would be helpful to a practitioner (or patient).

Does such a review exist?
Yes. The best reviews are done circumscribed to certain areas of focus, like disorder. For example, here is a study that examines the comparative efficacy of all "bona fide" treatments for trauma (e.g., prolonged exposure, EMDR, cognitive therapy, etc): http://www.ncbi.nlm.nih.gov/pubmed/18055080

There are also wider comparisons, but these are fraught with controversy. Lester Luborsky and colleagues performed one of the first comparative studies in 1975. Their conclusions were that there were few significant differences between in outcomes across different therapies. This became known as the Dodo Bird Effect: "Everybody has won and all must have prizes." You can read more about this here, and also find the long list of comparative studies that have been produced ever since: http://en.wikipedia.org/wiki/Dodo_bird_verdict