What exactly is anxiety?

Rollo May: “anxiety is the apprehension cued off by a threat to some value that an individual holds essential to his existence as a personality. The threat may be to physical or psychological life (death, or loss of freedom) or may be some other value which the individual identifies with his existence (patriotism, the love of another person, success, etc.” (May, 1950). 

For example, someone may say “If I couldn’t support my family, I’d as soon jump off the end of the dock. This put simply, is saying that If he couldn’t preserve the self-respecting position of being the responsible wage-earner, his whole life would have no meaning and he might as well not exist. The occasions of anxiety will vary with the different people as widely as the values on which they depend vary, but what will always be true in anxiety is that the threat is to a value held by that particular individual to be essential to his existence and consequently to his security as a personality.” (May 1950).