I do a number of things. I sometimes use a breathing technique (which I wrote a hub about) to calm me down if I am panicking about something.
If something is bothering me and is constantly on my mind, I use a technique called 'tapping', which is a form of hypnosis involving the repetition of certain phrases whilst tapping your body in particular areas over and over. It helps you to come to terms with whatever it is you are fretting about.
Exercise is also a great way of relaxing as it releases not only built-up tension physically within the body's muscles, but also endorphins (or 'happy hormones') in the brain.
If you're not the energetic type, try lighting some candles, sticking on some soothing music and having a nice, hot bubble bath; works a treat!
If you're creative, try drawing, painting or writing expressively to let out your inner thoughts and worries. It's surprising how much a piece of paper can help!