Honestly, yoga does wonders. Recently did it in a class of mine (some spiritual release or some shit), and by the end of the class I felt incredibly relaxed, limber, and stress-free.
You could also just meditate and develop some sort of chant of "inner peace". Sit in a quiet room and just let your mind wander; you can even have some music playing during this time, but instrumental works best as you want to be free in thought.
In times of stress, I tend to head toward the more musical aspect by playing on the piano (or whatever instrument I feel like playing at my disposal). Everyone has their own ways of coping with stress, but these are just a few things that really help me out. Mind you, not everyone is the same. Going out with friends could even assist in getting rid of stress, or hitting the gym.