I'm very much into Louise Hay...this is a more spiritual (but not religious) form of therapy. She has a gazillion CDs on how to combat stress, anxiety, low self-esteem, etc. Much of it is positive affirmations and positive thinking, which, for many of us, is an issue and why we have anxiety in the first place. I realize this suggestion is a bit too new-agey for some people, but my anxiety is caused, in part, by a lot of worry and negative thinking. I've been like this for so long, it's a hard behavior to break, so I need as much positive affirmation therapy as I can get.
For me, CBT works but only if I am seeing a therapist. Otherwise, I just go back to my old habits. A therapist helps you to stay on track, and since I am currently unemployed, a therapist is not an option right now.
I have enjoyed reading the other suggestions and will check them out.