I went to a one-week combined Vipassana meditation and yoga retreat in New York a few years back and it was one of the best choices I made. It introduced me to meditation, taught the technique, and motivated me to continue doing it at home. To me it is not the retreat itself that will change things, but developing a routine that it consistent and that allows you to make progress in your meditation.
I've been slacking lately on the meditation, but it has helped me with anxiety above all else. It helps settle the mind and give you more control over your thought-patterns, which are often chaotic and self-destructive.
Anyways, Vipassana gets my two thumbs up
It's not a magic cure but it is a helpful tool.