Yes.
Xanax, Valium or most other types of Benzos shouldn't be an issue, unless you are mixing them with certain other prescription drugs like antidepressants, pain killers and alcohol. That particular combination is not good (see Chris Benoit). I've personally seen people become very emotionally unstable on that combo, although I think it mostly has to do with the antidepressant, painkillers and alcohol combo.
In general, always be careful when mixing any types of prescription drugs. Check for drug interactions on Google or better yet ask your doctor.
The risk with Percocet (oxycodone & tylenol) or Vicodin (hydrocodone & tylenol) is the Tylenol. Acetomenophin is REALLY hard on your liver.
I have back problems and have to take Vicodin from time to time - sometimes while on cycle (because you can't control when your back injury acts up). It's never caused my blood work to come back abnormal and my HRT doctor did not have an issue with taking it along with Test and Deca. Just don't combine it with orals like dbol, anadrol, halo, winny or anything that's puts further stress on the liver.
You could tell your doctor that you are sensitive to and (or) concerned about the effects of Acetomenophin and make him give you a type of pain medication with a lower Tylenol content. You can get some that have 10mg Hydro and 350mg APAP (Tylenol). Others have as little as 5mg Hydro and as much as 750mg APAP. Try to minimize the APAP.