Most of my clients have spent a small fortune on self help books before turning to professional help. I'm not against self help at all. There are a lot of amazing resources out there, but there's a lot of bad stuff too that can actually set back your progress and make anxiety worse. Here are three excellent books that I regularly recommend to clients to supplement therapy for anxiety:
Dr. Carbonell is a psychologist out of Chicago who specializes in anxiety. In an addition to his famous Fear of Flying workshops (in which participants get on an actual plane at the end), he writes wonderful books. I've read hundreds of anxiety books at this point in my career, and his is the only book I've seen get it right. His website, anxietycoach.com, is also full of helpful anxiety tips.
Many clients I see aren't just worried. They're worried about the effects of worrying...which makes them worry more...which makes them worry more. You get the idea. It's a terrible cycle of anxiety about anxiety. This book exposes the myth that anxiety is a death sentence. She also has a wonderful TED Talk that sums up the research nicely (for those non-readers among us).
I only recommend this book to the spirtually-minded. Tara Brach is a Buddhist Psychologist who relies on modern research and ancient Buddhist wisdom to inform her practice. It can be a little too touchy-feely for my more secular clients, but it offers quiet wisdom and practical tools for those who aren't bothered by spiritual language. Her weekly talks are also incredibly popular among commuters.