staring at the door - trying to imagine walking out of it at the end of the appointment! Once or twice I have taken this a step further (during a moment of panic!) and leapt out of the chair!

That made me giggle!
I've found the replies so far interesting, particularly since they seem to be quite different from both my experience and my preferences!
Firstly, I've never gone to an appointment alone, and don't think I ever could! I go into the room alone, but I always go in knowing there's
someone there (my dad) waiting for me when I come out. And they're also someone 'safe'/'on my side' to whom I could leg it if something bad happened! lol
Secondly, in my two main treatment appointments last year (only ones since childhood) there was
a nurse there to hold my hand. As I was undergoing IV sedation (and possibly also because it was a high-end, 'spa'-type place?) there were three people in the room - the dentist, the dental nurse assisting her, and another nurse who was there to just look after me. Now, the role was filled by two different people, and the nurse from the first appointment was amaxing, whilst the second one was not great (as soon as I responded to the sedation she left me, whereas the first one - as far as I know - stayed by my side, holding my hand and checking on me throughout the whole, 1.5 hour, appointment). But both times my dentist introduced that nurse as the person there to hold my hand and help me etc. I'd imagine I would be far too embarassed to ask to hold someone's hand, but it was a real help when it was offered, especially as it was all done as if it were just the normal thing to do. It also helped to know that while my dentist was concentrating on my teeth, there was someone else there who was concentrating just on making sure I was ok.
The other answers I ticked were: 'sedation', 'my dentist speaks to me and reassures me', and 'Listen to a relaxation CD on my MP3 player'. I've only just noticed what the last one actually says - and I've never actually listened to a relxation CD!

But I did take my
mp3 player to my sedation appointments, and listened to my music. It was comforting to hear music I know and like, but I kept the volume low enough so I could hear everything my dentist said to me - I wouldn't want to be completely shut off either!
In terms of
sedation, the only kind I've had (except GA as a child) is IV sedation, and that's what I'm having for future treatment appointments too. For now, I feel I need it - in that I don't think I'd go unless I was having it!
With the
dentist speaking to me thing, this is huge for me. Before any appointment starts I ask them to describe exactly what I'm going to hear/feel/smell/taste/see, so that I know what's coming, and therfore hopefully I can manage not to panic when something (e.g. a new taste/smell, or strange feeling, or pain etc) happens. And just generally, the more my dentist reassures me, speaks kindly to me, anwers my anxious questions patiently, asks me if I'm ok, checks I'm not in pain, and so on, the more I feel safe, and therefore able to relax. If I feel I can completely trust my dentist to take care of me, then I no longer need to be constantly 'on the alert'. Of course, anxiety/phobia being what they are, I can't just switch them off and relax. But feeling that the person in charge is on your side makes a big difference.
With the options I haven't mentioned: I've never tried
hypnosis or
virtual reality glasses. As for
thinking of something nice, I agree that it's highly unlikely! For me in particular, becuase I have a mouth phobia and a strong gag reflex, as soon as there is anything going on in there, I can't focus on anything else! (Excpet, perhaps, thinking of ways to get them to stop!) That's why sedation is so helpful for me.
The only other thing I can think of that I do is
pray. I believe that helps (or rather, God helps) too!