The most straightforward method of relieving stress is through direct relaxation. Contract and release one group of muscles at a time, while breathing deeply. You can combine this form of relaxation with meditation if you prefer.
Depending on your personality, the following can also be quite effective at relieving stress: do something completely different! If you break out of your stress-inducing daily routine and your stagnant mindset, besides gaining a temporary relief from stress you may also gain new perspectives on how to overcome it.
Other proven methods for stress relief include physical exercise, massage and pretty much all healthy activities. (Taking painkillers or anti-depressants doesn't count as stress relief!)
Believe it or not, the most common method of stress relief is social alcohol consumption. And it works - up to a degree. It is said that alcohol is a social lubricant; talking about your problems might not only net you a useful advice or two, but the sharing itself helps relieve stress by getting it out of your system.