Was just put on 2 2mg tab Valium an hour apart nightly along with 30 mg remeron by psych for sleep onset insomnia and depression. I was on 1 mg klonopin and ambien as needed previously for anxiety and depression and insomnia. Is this a good combo?

Yes. This is better than your previous combination . The goal should be to gradually reduce the need for Klonopin and let the Remeron continue to help your sleep.
Does it work? You obviously meant 2mg Valium ( as it comes 2, 5 and 10 mg). the proof is in the pudding meaning , " does it work"? There are many different combinations of medication that can relieve symptoms and it has to be designed for you taking into account all the factors concerning meds, dosages, side effects and how you respond to it. Sometimes psychotherapy should be in the mix.
Powerful combo. This combination can be quite sedating. It should be very effective for anxiety over time. I would be cautious with alcohol and any other sedating medications. I would also be cautious if you have asthma or problems breathing.
The latter is best. You have insomnia, so besides prn ambien (zolpidem) and Klonopin, please consider avoiding caffeine, going to bed at the same time each night, and unplugging- TV included-an hour before you wish to sleep. Warm showers/baths will also help at night, and give you a jump start in the morning. Thank you, and rest well. .
Psychiatrist. I would follow your psychiatrist's advice and instructions. I feel more comfortable with the valium-remeron combination than the klonopin-ambien combination especially in view of the presence of depression.