Yes they do work, you might find a particular kind doesn't work for you, but your GP will find you an alternative that does.
I started taking Prozac a couple of years ago, took a month to kick in, then I felt a bit weird for about a month, but since then no problems. My anxiety is a lot better and improving all the time.
Herbal remedies I'd recommend. Valerian root for calming effect, 5 HTP (natural melatonin) for sleep.
I'd also recommend guided meditation CD'S, podcasts, audiobooks.
Fresh air and exercise also help massively.
It's a combination of all these things that work for me.