On the sugar front-- one of my issues at the moment (besides all the other random s***) is that I have really high cortisol, and that's contributing to the fatigue and symptoms of depression. I don't have the anxiety that goes with it-- or at least, I'm a naturally high-strung person so the anxiety feels normal to me, haha. Anyhoo, because refined sugars contribute to cortisol production, I cut way back on all of them (switched to agave for coffee, used only maple syrup in oatmeal, etc) and even stopped drinking alcohol, and noticed a *huge* difference in my mood within days. Yesterday, I had both alcohol and more sugar (in the mixes in the fancy drinks we got), and notice a big drop in how I feel.
One other supplement for anxiety that I've heard good things about, in case that's in your mix, is L-Theanine. My therapist recommends it, and I've read a lot of good things about it online.
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I found this Pinterest board of low glycemic index treats (what with me being the sugar junkie, I can't eliminate treats completely) here: http://pinterest.com/tlsweightloss/snacks-and-desserts-low-gi/ and, from there, found this to try this weekend: http://www.easyvegan.info/2012/05/09/chocolate-peanut-butter-banana-ice-cream/ There are also some really good raw chocolate bars at WF and Trader Joes that don't have added sugar, or that have low-GI sweeteners.
One other supplement for anxiety that I've heard good things about, in case that's in your mix, is L-Theanine. My therapist recommends it, and I've read a lot of good things about it online.