I didn't realize there were two posts with the exact same heading by the same poster, so I'm adding my response to the other post...
I recommend reading:
"Wherever You Go There You Are" by Jon Kabat Zinn, (meditation)
"Attacking Anxiety and Depression" by Lucinda Bassett, (focuses panic attacks and touches on depression)
"What To Say When You Talk To Your Self" by Shad Helmstetter, (for self-esteem)
"Pulling Your Own Strings" by Wayne Dyer (for self-esteem).
All have an audio version (except "What To Say When You Talk To Your Self").
I've listened to all the above and read Shad's book, I highly recommend them all.