Honestly, the gym has been a great stress reliever for me. I think exercising, and lifting weights is a good outlet for your mind and body to get rid of any pent up stress you have. Also I know not every gym has this, but my local one has a sauna and personally using it after an intense workout makes you feel pretty brand new. If your gym has one and is included with your membership, I honestly recommend giving it a shot.
RE: What are your personal methods for relieving stress?