Kava kava works well, though it might make you drowsy the first few times you take it. Valerian root is also good for anxiety. In many health food stores you can buy herbal combinations that will have kava, valerian, passionflower, and other herbs blended to increase the odds that it will work for you (some people respond to some herbs and not others, just the same as some people respond to certain antidepressants and other people don't - everyone is different)
Also, St. John's Wort is also extremely popular for depression and anxiety though it takes 2-3 weeks of taking it daily to start working.