I use Rescue Remedy for Belle, but would give her Xanax in a heartbeat if I could find a vet who would prescribe it for her. Mine (who I otherwise love) thinks ACE is the shiznitz. We tried it. Once.
Rescue Remedy at the "starting dose" of 4 drops is useless for my Belle. I start with 8 and give her another 8 in half an hour. It helps -- actually, it helps quite a bit -- but she is still afraid, trying to dig through the floor, etc. Unfortunately, there are NO rooms without windows in our little house. I think that would help. Crating is no help whatever. If we leave the bathroom light on, she can find a little comfort there. It's small and bright.
Until I found the Rescue Remedy, I was quite afraid she'd have a stroke or heart attack during a storm. She's 11, and I still worry about it some, but not as much. She was a rescue and came out of a puppy mill. I can't imagine how awful that was for her in a cage and terrified to boot.
I've adjusted by taking everything off the lowest shelves of the bookcases and getting the extension cord outlets out of cozy corners. But I'd still love to be able to talk my vet into something that would put her more at ease.