What you feel as anxiety is the body's fight or flight response to external stimuli as perceived by your thought. This is very important: Anxiety is not a bad thing per se. Anxiety makes you more perceptive to your threat, more focused, and more physically able to respond to that threat. Anxiety and rage cause the same physiological response: Increases in cortisol and adrenaline. Actually, increases in cortisol potentiate the release of adrenaline. This physiology responds directly to thought. Adrenaline increases your metabolism providing more energy for muscular activity, allowing greater strength and endurance, as well as allowing cortisol to repair and mitigate bodily damage. Adrenaline also causes more directed focus, and minimizes your reaction to potential external distractions so you can focus on the threat. In humans, this anxiety response takes on even more importance. Our increased cognitive function means that our survival instinct is not just animalistic, so the stress response gives you greater focus to intellectual activities too.

However, some people have higher than normal cortisol levels, so they have "mild" anxiety all the time. This higher baseline means the person's normal state of existence is more anxious than the average person. This has some benefits: It makes it less necessary for an initiation of the fight/flight response, so you get the added cognitive benefits of greater focus all the time. Until recently, this was a big bonus, and there was little time to relax and be calm. Life used to be hard. Females may also have higher than normal cortisol as this would provide greater vigilance in child rearing. Human females are often much more hypervigilant for their children than other mammals.
 
It is the increase in adrenaline that causes the jitters associated with anxiety, and adrenaline increases in response to cortisol increases. Cortisol levels rise in response to lessened (Gamma-AminoButyric Acid) GABA-1 receptor activation. GABA is the endogenous substance that binds to these receptors. Drugs such as diazepam are GABA-1 agonists, i.e. they bind to that receptor and activate its designed function. Antagonists bind to the receptor, but prevent other drugs or endogenous substances from binding to the site. Alcohol also binds to GABA receptor sites, but more to the particular ones involved with thought, which is why alcohol impairs cognition so much more.
 
GABA rises in response to mu-1 opioid receptor agonists. Endorphins are endogenous opioid peptides created by the hypothalamus, the "primitive" part of the mammalian brain, known to be involved with pain/pleasure and thought. Other endorphins bind with other opioid receptors to mediate respiration, bowel movement, and other basic functions. Sexual orgasm releases pleasure-inducing endorphins, as well as strenuous physical activity, pain, eating, and happy thoughts. Opium, morphine, heroin, and other derivatives work because they bind with the same receptors (thus the name opioid receptors) - morphine actually bind indiscriminately to all receptors. Opioids in pharmaceutical use today are not mu-1 site specific, so they cause respiratory suppression and relaxed bowel movement. In addition to being powerful anti-anxiety agents, they are effective for treating coughs and diarrhea. As a drawback, overdoses can lead your respiration to cease causing death, and regular use will cause constipation.
 
Amphetamines work in calming people because they are structurally similar to adrenaline, and bind to the same adrenal receptor sites. This tricks the whole stress response system, by making your body think there is already enough adrenaline.
 
All neuroreceptors become hyposensitive with continued exposure to agonists, meaning more will be required to exert the same effect. There is some evidence that continued exposure to large doses of neuroreceptor agonists cause the brain to reduce the number of receptor sites. After a prolonged period of agonist activity, neuroreceptors become hypersensitive when the agonist is removed, or an antagonist is introduced. An antagonist binds to the receptor but does not activate them and prevent agonists from binding to the site.
 
So what does this mean for you? The easiest and safest thing to do: Induce endogenous opioid release. The healthiest way to do this: Work out on a daily basis, doing anaerobic activity like weight lifting. Eating heavily is a popular alternative, but can be detrimental to your health. Frequent sex can help a lot, too - e.g., many people feel sad after ending a sexual relationship because of reducing opioid levels.
 
If those options are not effective to you, the aforementioned drugs can be prescribed. Or you can buy liquor. Diazepam and other benzodiazepines are very effective, by blocking the increase in cortisol in response to stress. Anti-cortisol drugs are also in the works, and will be out sooner rather than later. If you live outside the United States, over the counter codeine products available from your pharmacist are pretty effective too. (Codeine is an opioid metabolized by your liver into morphine.) If you are in the United States, it is unlikely opioids will be an option, unless you buy them on the black market. Of all these options, excessive eating or alcohol consumption are the most dangerous and will affect your health to your detriment. Pharmaceutical grade benzodiazepines and opioids are safe at recommended dosage.