They are all Benzos, so they are basically the same thing. But, Xanax is by far the most potent (and addictive) of them all. They also don't last as long in controlling your anxiety (about 4 hours or so). Valium and Klonopin are weaker, but they last longer (6-8 hours).
My advice would be to start with the Valium and if that does the trick don't fuck with the Xanax. That shit is EXTREMELY addictive and EXTREMELY hard to get off of. Klonopin would be my 2nd option. They use Klonopin to wean people off of Xanax.
But, at the same time everybody's body chemistry reacts differently. Trial and error, bro. But use the Xanax as your last resort.