Oh, you're definitely not alone. Many of us here, and many people off-line, too, can definitely relate! I've found two things can help:
a) find a gym where you feel comfortable. this is important. in my experience, different gyms have different vibes. find the one where you feel good! one way to do this is to ask for a tour. the 5-10 minute walk around can give you a pretty good indication of how you'd feel working out there.
b) bring earphones and music you like when you work out to help you focus on what you're doing and pay less attention to stimuli going on around you.
I hope this helps and remember, everyone was a newbie at some point. Most people there truly only focus on their own workouts. And the regulars who are buff and visit gyms regularly have seen endless people come and go during all the time they spend in the gym, so you'll simply be just another person working out. And the best thing is, once you get into a groove, the self-consciousness does start to dissipate!

Good luck! You can do it and have fun!
