Taking a shower is a good way to relieve stress. Smoking, alcohol, weed, all that stuff just makes stress worse... or so I hear. Scream into a pillow, meditate, read, listen to music, watch animals fuck each other. I don't know.
Break stuff.
It depends on what your stress is about and what kind of stress you have.
When I was stressed out about my dad being an asshole, I would go out into the garage, turn all the volume up on my amps, and sing the "Kill My Dad Song" as loud as I possibly could.