I'm with everyone else - I used to be terrified of going to the gym. Now I'll even go to a strange hotel gym when I'm traveling! The thing that turned it around for me was realizing that NO - not everyone in the gym is in Olympic shape, NO - most women (even if they ARE in Olympic shape) don't wear tight little spandex outfits, and most importantly NO ONE cares what I'm doing or how I look doing it. Except for the very occasional elitist (and poo on them anyway) people are at the gym to do their own thing and not to watch other people. Don't be afraid to ask for help from the staff (that's what they're there for) and remember that it's one of the few places where it's not considered rude to strap on some headphones and completely ignore everyone else in the place for as long as you're there.
It's like Dr.Phil says - You may not be so worried about what other people think of you if you realized how seldom they do.
I say go for it, you can always change your mind!