When I'm on my own and I need to relax or focus on a problem, I just put on some music, lay on the bed face up and close my eyes. After falling asleep on and off for a few minutes at a time and thinking things over the rest of the time, I definitely wake up feeling better. The type of music is not relevant - anything from chill-out to metal works.
My best (girl)friend and I have this relaxation formula that always works - we sit on the couch in my house's living room, with a good bottle (or two) of wine, a pack of pistachios and a funny DVD (Finding Nemo, Shreck, etc...). I tried that with my ex-girlfriend when we were together, but we ended up doing other relaxation techniques that I can't post here....