This paper studies the effect of stress/anxiety states on EEG signals during video sessions. The levels of arousal and valence that are induced to each subject while watching each video are self rated. These levels are mapped in stress and relaxed states and subjects that fufill criteria of adequate anxiety/stress scale were chosen leading to a subset of 18 subjects. Then, temporal, spectral and non linear EEG features are evaluated for being able to represent accurately states under investigation. Feature selection schemes choose the most significant of them in order to provide increased discrimination ability between relaxed and anxiety/stress states.