Northumberland, Tyne & Wear NHS Foundation Trust has produced a wide range of downloadable self-help guides which are available as printed documents, videos (including BSL), audio and other accessible formats. These include:
Social Anxiety
Health Anxiety
Anxiety - a guide for prisoners

Living Life to the Full provide lots of different online self-help courses that are highly recommended by mental health professionals, covering lots of different specific topics and groups, including helping you to tackle anxiety. 

Moodgym is another online self-help program designed to help you prevent and manage symptoms of depression/anxiety. It's like an interactive, online self-help book which teaches skills based on cognitive behavioural therapy.