I suffer from depression and anxiety (panic attacks), and sought the advice of a nutritionist recently when my anxiety attacks worsened over the winter. She highly recommended Vitamin D-3 in the liquid form. 10,000 IU each morning (or roughly 5 drops). I noticed an immediate change! No side effects whatsoever. No extreme changes but it just made me feel a lot more leveled out, more balanced and normal. Noticeably so.
I would highly suggest this for anyone experiencing anxiety or depression, especially in the winter months or if you work indoors all day. (Make sure it's Vitamin D-3, not D-2). L-Theanine is also nice to supplement this for more immediate relief of anxiety attacks.