Aside from the physical effects which are widely known and in stories all over this page, I can only tell you about my own experience. When I was drinking heavily, I was severely depressed and suffered from anxiety and panic attacks. I was on medication for those for about a year with no real result. When I started to see my drinking as a problem that was potentially interfering with my life, and started to cut back, I noticed a dramatic decrease in my anxiety and depression. By that, I mean that I went from crying for any reason at any time during the day (try doing that during a work meeting, it's really popular), to actually feeling in control of myself. Since I have had extended periods of sobriety in which I don't feel anxious or depressed at all. I am still on a low dose of anti-depressants, but they work MUCH better now.