literarygeek beat me to it. No Matter What is a lovely book. My bereavement counsellor gave me a copy to read to my DDs after DH died. It is immensely comforting and spot on for a 3 year old (I still sometimes blub when I read it though, but I think that's more to do with my understanding than my 3 year old's!).
Also Owl Babies has mummy owl flying away in the night and small owls waking to empty nest and worrying and then she comes back. Your call as to whether this is reassuring or not! But it's a classic and deals with separation anxiety.
DS is going through a bit of a nightmare with bedtime/sleeping, basically thinks that when he shuts his eyes we will disappear and leave him on his own!
What bedtime stories have you found to be good for calming/reassuring little ones? Also are there any good dvd's or audio books in a similar vein, as he has a bit of tv after dinner while I put his baby sister to bed.