I suffer from anxiety and depression and have done for years, but when I started what is still my current job a number of years ago it got much worse and I felt I had to go to the doctors about it. I was prescribed seroxat and was also given cognitive behavioural therapy, which was either every week, every two weeks or every month, I can't remember it was so long ago.
When I started taking the seroxat it made me feel much worse though. I ended up having a few days off work and stopped taking them, my doctor prescribed Citalopram instead and I have been taking 20mg a day ever since, which thinking about it is around 9 years, which is quite a shock as I have never thought about how long I have been on them.
It's not ideal taking medication, but I had tried books and self help stuff and nothing worked for me. Taking Citalopram at least allows me to work and "get on" with my life. Although I know I still avoid certain situations (especially social) that I think will cause me anxiety or stress.
The cognitive behavioural therapy was quite good because it forced me to put myself in positions that I would normally avoid, and keep a journal of dates, places and anxiety level. So I would recommend that if your local GP offers it.