I am a shy gal when it comes to gyms too
You may want to go to amazon.com and peruse the excercise videos and dvds (if you're like me you might be self conscious about in store shopping for that sort of thing too.) I am a big fan of the Crunch pick your spot pilates video for a workout that makes you feel like you're doing more than waving your arms in the air and jumping up and down. Find something that will work for you though- read the reviews thoroughly and I'm sure if you see something on there someone here has tried it and can give you advice on it.
If you are still unsatisfied I can tell you from my experiences that if you were to join the YMCA as opposed to one of the glitzy gyms you are more likely to find yourself in the presence of families and people there to work out and not cruise the spandex sections for dates as I saw at the others. Also consider driving to an area away from where you live for walking. It's easier to get comfortable if you arent constantly worried about your neighbors watching. Whatever you do, keep doing it! Short term discomfort for long term personal satisfaction is a fair enough deal