Stress. We all deal with it. Whether it be our jobs, family life, drama with friends, a relationship problem, or finances, stress is there, but so are these ways of relieving it.

Take a deep breath. This is your first, most immediate defense against stress. If you can get in the habit of pausing and taking a nice, deep breath every time you feel stress beginning to take hold, you'll have won half the battle just by preventing it from taking over. The other half is won by addressing the causes of your stress.
Communicate. Whether you talk to a friend or talk to your cat, getting it off your chest will help a lot. If you don't feel like talking about it, write it down. Keep a journal and write down whatever it is that's bothering you. Writing is a therapy of its own.
Laugh. Rediscover your sense of humor by making fun of your situation. View it from your future self's perspective, telling this story to a bunch of your friends over pizza and soda. Crack some jokes. Do your goofiest impression. Tickle a child that you love. Laughter, whether it's yours or someone else's, is the best medicine--and it's contagious!
Get fit. Perhaps your health and appearance are stressing you out, but even if they're not an issue, being physically fit can directly help relieve stress, which exists on both a mental and a physical level. Sometimes there's nothing like a long run, an intense yoga session, or a fresh swim after a stressful day to help you feel relaxed and stress-free again. Also, exercise releases endorphins; a feel good hormone. Chocolate releases endorphins as well (just only in moderation)!
Be organized. For the most part, stress arises from feeling overwhelmed. There's just too much to do, and not enough time to do it. Being organized and getting your priorities straight can help you break responsibilities down into manageable pieces and focus on the things that really matter to you, rather than getting caught up in details and creating extra work for yourself--all of which leads to more stress.
Soothe the senses. Light a scented candle that has a calming fragrance like lavender. Listen to your favorite, most relaxing music or, better yet, go somewhere that you can listen to wind rustle through trees or waves crash on the beach. Enjoy the scenery, whether you're outdoors or viewing an art exhibit. Drink some warm tea or taste--really taste--some dark chocolate. Treat yourself by getting a massage or, if you want to be alone, take a bath (bubbles are recommended).
Do nothing. That's right, folks, do nothing at all. Close the door, open the window, have a seat, and take a little break from life. If your mind is racing, learn to meditate and just let that stress go.

Note that not all stress reducing activities will work for all people. Experiment with different techniques to see what works for you.

Imagery meditation. Meditating, concentrating or just emptying your mind while viewing tranquil scenery, either real or in video clips can help your mind let go of anxiety filled thoughts.
Emotional Freedom Technique (EFT)
Self hypnosis
Indian head massage
Dance to relieve stress

Be aware of your choices; you always have a choice.
Learn to say no; you cannot do everything you are asked.
Learn how to delegate.
Be thankful. It does wonders for your state of mind.
If you need to apologize to someone, and it will not make the situation worse, find a way to do so. More importantly, learn to forgive, particularly to forgive yourself. Guilt adds pain to stress.
Relieving stress in the short term is a good idea, but resolving the underlying causes of stress is even better. If the same issues keep driving you up the wall time and time again, give some serious thought as to how they can be dealt with permanently.
Don't waste your time worrying about things you cannot change.

Be wary of escapism. Do not alleviate stress by doing something that'll only make it worse in the long run (e.g. buying a new pair of expensive shoes when what's stressing you is debt).
If stress gets really bad and you feel that you cannot cope with it, seek professional help.