I often advise people not to schedule appointments during stressful times. Don't, for example, schedule an appointment before a major business meeting or in the middle of the day if you know you have several tasks to do after the appointment. Also, during the procedure, I tell patients exactly what I am doing - when they are going to feel pressure and when they are going to feel coldness. I use all the techniques available to minimize pain. In the few cases where the patient will feel discomfort, I tell them.
Surprisingly anxiety is reduced if a patient knows exactly what to expect.
I can not stress enough how important it is to find a dentist you can trust and who is willing to do what it takes to relieve your anxiety. Some dentists may go over relaxation techniques with you. Others will play soothing music in the background or allow the patient to bring in a walkman and headphones. Some dentists even have virtual reality goggles which the patient can wear during the procedure. If your dentist is unwilling to discuss your anxiety or try things to help reduce your anxiety it is time to get a new dentist.