I've been to hundreds of shows by myself, no exaggeration. It's not that I don't have friends, I just have very unique taste in music! I know what my friends are into, music wise, so I don't even bother asking them to go when I see something advertised. I just go on line, buy a single ticket...and go!
They're mostly standing events, so I often go the front, lean on the barrier and watch the roadies set up. It doesn't matter if you're by yourself. No one seriously cares at those kinds of shows. The only time I would feel vaguely self conscious is if I went to a seated only venue...but, then again, I've done that and not really cared too much.
What you have to remember is, when the lights go down and the amps get fired up, no one in that room gives a damn about you...it's all about the magic that's happening right up there on that stage! Don't miss it because of your anxiety. Go! Go! Go!