I bought David Allen's book Getting Things Done and started applying some of the things mentioned there.

More specifically: I stopped using my calendar as a todo-list ("Tuesday: do some school stuff"), now it only contains things that are bound to a certain date/time. Also defining my todo's better (not "do some school stuff" but "read p. 20-35 and make a short summary") has been helpful.

If I have a bigger project / cause of stress - at the moment my bachelor thesis would be a good example - I write down the next action I need to take regarding it. This usually helps a lot. As he states in the book: "There is no reason ever to have the same thought twice, unless you like having that thought."

The cold showers thing that Kaj mentioned sounds very interesting, have to give it a try.