Advances in biosignal acquisition and processing have provided an effective window to the complex peripheral physiology related to human emotions. Numerous cardiovascular measures have been used for assessing the activity of the sympathetic and parasympathetic branches of the autonomic nervous system. More recently, respiratory parameters have shown promise for the assessment of anxiety. Current theoretical accounts of anxiety recommend a broad assessment of anxiety responses involving measures from the physiological, behavioral and verbal-cognitive domain. However, practical and statistical considerations put restrictions on the number of dependent variables used in studies on emotion. In a laboratory experiment we assessed a large number of psychophysiological parameters to identify their relative utility for differentiating between a neutral (quiet sitting) and an anxious state induced by threat of shock. High effect sizes were found in all psychophysiological systems with electrodermal and behavioral responses demonstrating the highest, and respiratory and cardiovascular responses yielding medium and small effect sizes. A linear combination of the six most powerful variables was highly significant in distinguishing the neutral from the anxious state and resulted in 83.3% correct classification. Results demonstrate the necessity to include measures from multiple response domains for an adequate assessment of anxiety states. Furthermore, our results point to the significance of respiratory parameters in anxiety assessment.