For me, it's video games. A good video game relaxes me like nothing else. Of course, that depends on there being a good video game that I haven't already played out.

Books can also do it for me, to a lesser extent. I also have other hobbies, mostly involving creating things like papercraft or models, that will help de-stress me.

The worst is when I spend too much time playing games and start to feel guilty about not doing other things. It's a downward spiral because the thing that relaxes me is now causing me additional stress.

The real solution is, of course, to find the real stress and reduce it directly. That's not always possible, but there's usually something that can be done.