Keep things organized. Keep track of all your assignments and schedule study sessions ahead of time. Give yourself more time than you think you will need, and don't let yourself fall behind. College anxiety usually has multiple causes. By keeping the academic situation under control, you can have one less source of stress.
Get into a good living situation. Make sure to stay with roommates who you get along with, and to keep the channels of communication open. A certain amount of housemate drama is all but inevitable in college, but you want to keep it to a minimum. Set up chores and house rules early on to avoid passive-aggressive wars of attrition.
If you are just entering college, sign up for some clubs or activities. Going to parties can be a good way to unwind, but make sure to have some mellower things going on as well. Finding a hobby you can do with other people, such as playing a sport or being part of a choir, can really be grounding. It gives you something to work on in cooperation with others free of the pressure to succeed.
Sleep as regularly as possible. A few all-night crams are inevitable, but you can keep it to a minimum. If you want to stay up all night talking philosophy with a new friend, make time to get a few extra hours the next night.
Vent. Have a friend or family member you can unload on a bit when you feel stressed. Sometimes, just having a sympathetic ear can make a world of difference.
Don't let the anxiety derail you. Keep up with your obligations, but make time to deal with it in the off-hours. If you let stress cause you to miss classes, for example, you could end up further behind and more stressed.
Keep a sense of perspective. Understand that the late teens and early 20s are a difficult time in life and that you will get through things. Whether you are dealing with a breakup, a bombed test, financial problems or the feeling that the whole course of your life is at stake, it isn't the end of the world.
Take up meditation. One of the worst components of anxiety is constant, repetitive, nagging thoughts. Learning to clear your mind is invaluable.
Make room for a little escapism. Play hard on an off-night, take a spontaneous trip, or hook up. Sometimes, just a few hours of being spontaneous and feeling alive can shake you out of a very bad place.
Know when you are in trouble. If your anxiety is so severe that it is interfering with your ability to do what you have to do, you need professional help. Most colleges and universities have excellent psychiatric services available for students who need them. If you think you might need help, go in and talk to someone.