Magnesium, magnesium, magnesium!
http://www.vitacost.com/Peter-Gillham-Natural-Calm-Plus-Calcium-16-oz
http://www.calmaxdirect.com/home.php?cat=12
A quick search on magnesium should convince you it's well docuмented and well worth trying.
Yes, most people are deficient in magnesium so it is wise to supplement but be patient and consistent since it can take a few months to get your level up to where it should be depending of course, on how deficient you are. Also eat lots of vegetables and avoid caffeine and sugar. Drink plenty of water.
Also supplement with a good source of B vitamins. I have also heard that zinc may be helpful but it doesn't take much zinc each day, maybe 15 or 30 mg., but it'd be best to consult with a holistic MD, a naturopath or an herbalist to determine your nutritional levels and needs.
I have also heard that people have been helped with their anxiety during the day by helping their sleep at night. A friend takes Inositol and 5HTP during the day to help with sleep and then magnesium, potassium and melatonin at bedtime.
Lastly don't forget good old excercise to help with anxiety, depression etc.
Best wishes to your health.