I definitely have found music helps me a lot with my anxiety. Quite often if I'm getting pretty anxious while out somewhere I'll put earbuds in and listen to some music on my cellphone and I find it helps me a good bit. I also get the added bonus of people not trying to talk to me because they can see I'm listen to something.

I'm into a lot of Korean and Japanese pop music, this is one of my favorite songs at the moment: