I'm the same way...especially when I am all by myself and going to a class the first time, because I'd much rather go with a friend. However, I started Bodypump classes last Friday and I am LOVING them! Had I not sucked it up (I told myself as I was heading there," suck it up buttercup"), I'd have missed out on something that I am really enjoying. I am doing my 4th class here in about 45 minutes.
Just go in and enjoy yourself! The instructors are usually really good about new people, and will say, if you have to stop or modify something, don't worry about it. Just go, have fun, and get moving