Know your stress type. (
Yoga Journal article on Ayurvedic medicine; if such things annoy you, skip the article!) I really like this idea that our dysfunctional coping skills (whether we get anxious, angry, or depressed under stress) should guide which functional coping skills we seek out -- that sometimes relaxation itself could be a way to escape rather than a way of coping.
→[More:]I definitely find that I really need to get intense exercise when I find myself slipping into stressed-out mode; "relaxing" often becomes a way to rationalize staying stuck in lethargy and depression.
Which, of course, is why I'm currently "relaxing" in front of the computer instead of going to the gym. Sigh.