The Transparent Corp forum – This forum is an invaluable resource for any brainwave entrainment user or enthusiast.  Most of the feedback is obviously focused on the Transparent Corp software, but with over 20,000+ posts now you can find answers to the whole array of brainwave entrainment questions on there.  (UPDATE: Sadly, the Transparent Corp forum has now been taken offline)
It sounds like your brain might have initial trouble adapting to the binaural beats. The same thing happened to me when I listen to the Beta frequency (I got a headache), but then I discovered that I had the volume turned up too loud. I would say experiment with these frequencies, but at a low volume. See how you go. And if you continue to have anxiety, by all means, stop listening. Also, not all binaural beats are created equally. Some are amateurish, but the ones from Binaural Beats Meditation (mentioned and linked to in this article), are professionally created and the ones that I personally listen to. I love them (especially the Theta/Delta ones)! I hope this helps. :)
A large dose of caffeine causes a short-term spike in blood pressure. It may also cause your hypothalamic-pituitary-adrenal axis to go into overdrive. Instead of coffee or energy drinks, try green tea. It has less than half the caffeine of coffee and contains healthy antioxidants, as well as theanine, an amino acid that has a calming effect on the nervous system.
The functional role of neural oscillations is still not fully understood;[6] however they have been shown to correlate with emotional responses, motor control, and a number of cognitive functions including information transfer, perception, and memory.[7][8][9] Specifically, neural oscillations, in particular theta activity, are extensively linked to memory function, and coupling between theta and gamma activity is considered to be vital for memory functions, including episodic memory.[10][11][12]