Recent research (check the link below) has discovered that listening to and interacting with music can help reduce our experience of pain. However, if a person had a higher level of anxiety overall, then music is an even more reliable tool to help reduce feelings of pain.
The exciting part of this research is that it possible that those with high anxiety are more able to absorb themselves into a task. At the time the researchers thought that high anxiety would mean they would not be able to engage as well, but that was not the result. This seems to make sense in regards to what I have seen in my practice. Many of my anxious clients are compulsively hard workers, sometimes to the point of perfectionism. Fortunately, in this case the compulsive work ethic can be repurposed to reduce pain arousal when that ethic is focussed on musical appreciation!
So what are the implications of all this you ask? I often have clients who are suffering anxiety and have real difficulty coping with pain from a long-term injury. The main positive out of all this is that if you are suffering anxiety and pain I highly recommend listening to more music! Play your favourite artist at work, at home, wherever you can fit it in to your day. The research says though that the positive effects of music will be greater if you focus on the music. What you should do is listen intently to the lyrics, or try to focus on the melodies and harmonies throughout, maybe see if you can sing along (vocal talent not required).
I also believe this might have implications for the introduction of mindfulness activities and its effectiveness with anxious clients in reducing the impact of emotional pain. If you are more thoroughly absorbed in the activity of reading your surroundings, is it possible that you will become better at turning away from unhelpful thoughts?
Research via Science Daily: http://www.sciencedaily.com/releases/2012/01/120105161750.htm