Usually I go for a walk and listen to music. Walking helps me relax if i do it casually, and i often enjoy going out for an hour or so when I'm feeling stressed or just need a break.
Driving has the same affect on me, though since I live in the city and no longer in a rural area there aren't as many quiet places for me to go so it doesn't help as much.
Music is usually a good temporary distraction. I can emerse myself in a song/album that will elicit a specific mood/energy. Putting pen to paper and conveying what's on my mind is a better method of processing through what's bothering me though. Most often I'll write as if I'm writing to one of my closest companions even if I don't inevitably send it.
If I’m experiencing severe anxiety, I rely on a breathing technique to try to help center myself (breathing in counts of three). For minor anxiety, I enjoy simple drawing, it helps calm my mind and provides a nice distraction to whatever is causing me stress. That, and if I like it, it gives me a little boost of pride in my work and that can help improve my mood.
Typically I just put on some Enya (Especially if it's one of her instrumentals or when she sings in Irish Gaelic.) and I just let the mysticism of her music take over and that always works.
I'm a very tactile person so for me I like folding papers, running my fingers over a texture I like.
I also do deep, slow yoga-style breath focused on making your bellow expand big. I was told that it affects some positive chemical or hormone (cortisol?) that makes it impossible to feel afraid.
When I go through stress times I usually need to take a nap and spend some time in my favorite chair. It might be an hour, several hours or even a day. Sitting there I can do whatever I want. I read books, watch films, eat and of course sleep there.