Exercise for sure, it's a fantastic stress-reducer and sleep aid, and it has lots of other health benefits.
Meditation helps too. For the long version, read "Full Catastrophe Living" by Jon Kabat-Zinn; he designed a meditation based stress reduction program for hospital patients that was very successful. For the short version, try this: sit straight in a chair with you feet on the floor, hands relaxed in your lap. Notice your breathing. Notice what it feels like to breathe in and breathe out. See if you can locate any muscles in your body that are tense, and relax them. Calves? Hands? The little muscles in your face? When your mind wanders and you start thinking about work, gently return your attention to your breathing.
Besides being a pleasant, calming experience, this can teach you not to get caught up in your thoughts. When you start to worry about work, you can notice it happening and choose not to get caught up in it.
THIS! I have tried to tell so many people about the powers of meditation and muscle relaxation. I highly suggest PMR, which might be the subject that Kabat-Zinn might be referencing! PMR is Progressive Muscle Relaxation and it can be very simple to do! One of my psych teachers had the entire class close their eyes, and squint really hard, having all the wrinkles in the forehead fold, ears raised, jaw clenched, neck, and just hold it like that for a few seconds. On her mark, she told us to release, and notice how it feels to release this tension. Definitely try this and try and find all those muscles that you did not know you had!!! I find it, personally, very very very very soothing and relaxing once I take a deep breath, swallow (no 'mo xD) and let my ears, and jaw relax. There is also this muscle in the back of my neck, I can feel it behind my ears, and at the back/slightly above my jaw line/ neck area. It is always so tense for me. I learned how to relax it, and now it is my number one go to for stress relief.
That area also helps with bodily control. On very hot days when I have to walk, I focus on my breathing and relax those aforementioned muscles as I walk. When I do it right, I literally get the chills/goosebumbs and feel my body temperature lowering as the hot sound pounds on me. From there, I drop the muscles in my shoulders, and relax my back muscles all the way down my spine.
Try these methods before sleep. Start with your toes, wiggle them and work all the way up your body until you reach your head. Then stretch, and teach yourself (unless you know already) how to yawn. I figured out how to make myself yawn, but it is so hard to describe, but it I think it helps to recognize what you physically do when you yawn.. Take a deep breath, open mouth, get that feeling in the back of your throat, and then boom, you get this sensation of actually have to yawn. Yawning releases brain chemicals that tells your body.. TIME TO RELAX! ITS SLEEP TIME! Stretching, which also helps your body get out some tension helps you get comfortable. Stretching also works great in the morning to get out those kinks from being curled up in a ball the night before.
This is one reason why exercise can be very helpful. If you can get to a gym, work out muscles in your back, chest and the such, its amazing when you feel them sore and you never knew you had them. If you cannot get to a gym, try isometric exercises. Isometric exercises is when you work out a muscle using your own body weight.
For example, press both of your palms together with good force, flex your triceps and chest and hold. Do sets of these until you feel the burn. Now lace your fingers together and pull, flex your biceps and your back until you feel burn. You can put your hands against the wall and push (like push up position) and that is an isometric version of a push up.
Sex, and I'm not joking

I've got a fairly high stress Wall St. job, and I leave my house at 6AM and get home at 9PM 4 days a week. Once a week I can 'work from home' (my job is in IT, I'm not a trader or anything)so I get a bit of extra sleep those days and get to make dinner and relax a bit more than i would if I were in the office. But when the stress is at its worst the thing that gives me the mental break and and a renewed perspective is an hour or so with the Mrs. (providing I'm at home of course!)
If I were single I would probably say tequila, or California anxiety/insomnia medicine

but if its an available option I would suggest it to all.
Sex is amazing, no joke lol It too releases chemicals that makes the body feel good. The best time to have sex is the first thing in the morning. It gets your body going, and honestly, who does not feel good after a round (or two or three..... xD). That positive attitude can make a day that normally would be a terror. Exercise in the morning is good for this reason too.
Imagine getting up, having some fun, working out and then going to work. You self esteem will be high, you will feel great, and it can make you more personable. The more personable you feel, the more stress and negative attitude you will have to endure to get down.
Contact sports and weightlifting.
Great suggestion. Sometimes, when all the above mentioned just is not doing it for you, hitting something can really be a stress relief. I personally like, although I have not had a chance to get enrolled, is a martial arts class. It teaches you about mind and body, and self defense. It makes for power chi, and the utmost power in relaxation, and meditation.
As for that comment about depression and chronic anxiety. (sorry, I had it quoted, then cut it, but copied over it

)
Do not worry about the idea if you are depressed or not. That will cause more anxiety. To be deemed majorly depressed, you have to experience not caring, feeling sad, no regard to get out of bed, lack of pleasure in things you had once day, for most days of the week for about 6 months straight. (I am pretty sure those are most the qualifiers according to DSM chart, its been a while since I looked at it).
Everyone experiences stress, anxiety or depression at some point, its knowing how to handle your body that makes the most difference.
Some people have a biological lower threshold for depression via DNA. If you have depression and disorders in your family, then it is possible. If not, then do not worry about it, and just try out some of the aforementioned practices. If you do not get better, and you still feel like a wreck, then I would suggest seeing someone if you think that will make you feel better. I personally prefer the idea of a psychologist then a psychiatrist. Psychiatrists like to listen for 15 minutes and then provide you medication. I am against medications and drugs for non recreational purposes. Mostly due to the fact that we are human and have the most advanced bodies developed on this planet. If we experience something that happens to our body naturally (depression) then there are natural ways to prevent or rid of it - I rather suffer with a headache for a few extra hours before I give in and take something. Most the time, it goes away on its own and I avoided taking some synthetic pill that blocks pain receptors.