Unconsciously holding my breath is the first sign of tension in me. Unfortunately, I'm usually the last person to notice that I'm doing it. Others will begin to ask if I'm feeling sad or depressed. Eventually I realize they're asking me that because I've being sighing a lot or taking big, deep exasperated sounding breaths. The sighing and sudden deep breathing is my body's way of trying to regulate my breathing again.
I'm a practicing buddhist and have found there isn't any buddhist practice that isn't tailor-made for agoraphobics and other phobics. I am most especially grateful for the constant emphasis put on mindful awareness and meditative breathing exercises. It is literally impossible to feel stress while the body is in a state of physical relaxation.
A terrific bonus for us is that while our attention is focussed on our bodies, out heads - where all the freaking out comes from - are not able to run down dark alleys looking for trouble.
You're definitely not alone!