Alprazolam (marketed in the U.S. as Xanax) is a benzodiazepine used to treat anxiety, tremors, and, in some cases, depression.
Unlike other drugs in the family (vallium, Ativan, etc.) Xanax does have psychotropic effects. It may also have minor negative side-effects such as vivid or disturbing dreams, narcolepsy, or severe withdrawal effects. Alprazolam is typically administered in doses of 0.25mg-2.5mg.
On Criminal Minds
Spree killer Darrin Call had been taking Alprazolam to suppress his hallucinations but was going through severe withdrawal in the episode. The show mistakenly refers to his medication as an anti-psychotic drug.