I have had some problems with excessive anxiety for a while now, and am now feeling a lot better. Fluoxetine has definitely played a part in this, but here are some other things which may help others.

1) Mindfulness meditation - I am definitely not a hippy/new age type person but I have been practicing this for about a year now and it definitely makes a difference. I had a big "relapse" in January, maybe because I didnt do any in December. I misguidedly thought "I'll have a month off".
The benefits from this are a bit like hair growing - it takes ages, and sometimes so slowly you dont notice it, but over time it happens.
"Get some Headspace" by Andy Puddicombe is a good book which got me started.
2) Exercise - definitely helps but when you are feeling low and the weather is crap it isnt easy. If you can force yourself to do it, it will definitely make a difference. You dont have to kill yourself but you need to get mildly out of breath for 30 minutes or more. Apart from that, it can be anything.
If you arent very fit, walking in the sunshine (when you can find some) is a good place to start.
I hardly did any exercise in December either and it definitely made things worse.
3) Natural daylight or a SAD lamp. I dont get out much for lunch at work so at the moment dont get much natural daylight. Someone in my office left and left their SAD lamp behind, so I "borrowed" it as an experiment and I'm sure it has improved my mood. Get one that is medically certified e.g a Lumie one (there is a site around which lists all the ones which are proven to help).

4) Good sleep hygiene. If you have trouble sleeping like me, always trying to get up and go to bed at the same times helps. Fight the temptation to lay in even if you have a crap nights sleep. I find its better to be freezing cold when you get into bed, because after 10 minutes you warm up. If I have too many layers/blankets etc I get too hot and cant get to sleep.
5) Cut down on caffeine. Its seems obvious but try and avoid more than 1 or 2 caffienated drinks a day and nothing closer than 6 hours to bedtime.
6) Try and avoid booze. Ruins your sleep and makes you feel worse the next day.

7) If you are having problems with work, relationships, money etc try and do something about them instead of worrying,. Again, sounds obvious but a book called "Overcoming Worry", which I recommend, has a very structured way of approaching excessice worry in a self-help CBT way. This shows how worry works and how a big part of fighting it is trying to resolve the issues.
Start with the small things and build your confidence up before tackling the biggies.

Good luck.