I have used a lot of these and find some to be really calming and relaxing. Especially things like Lavender, Sandalwood and Peppermint. You can pick them up from lots of places, I usually get a lot of mine from my local chemist.
I thought I'd recommend these guys, I have visited their shop in Glastonbury, Somerset before and if you ever get the chance to go, it's an amazing shop, you can get to smell all the different oils and it's a really incredible place. The range of oils and incense they have is unbelievable.
Glastonbury is an incredible town too, if you ever get the chance to go there, lots of healing and magical stuff that would really help a lot of anxiety sufferers.
I recently found out they are now online and you can mail order from them, although I have only ever been to the shop in person before. You can also order a catalog from them too. I'm probably going to order some stuff from them soon, they seem very good value and you can order large quantities of the base oils at very reasonable prices and they do lots of blends, although it's hard to know if you like them without testing them first.
http://www.starchild.co.uk/
Jim