Ive just joined the gym (again!!!!!!!!), I wouldnt worry about being self conscious, most gyms are just full of ordinary people, trying to loose a bit of weight and tone up.
If you go to a good gym, you will find that they will insist on you having an induction, where one of the instructors will have a chat with you about what you want to achieve, and show you haw to use all of the equipment properly, and usually will design a workout for you.
Its much less daunting once youve done that, cos first off you will get to know the instructor, and youll know exactly what youre doing.
I think the only places where they make you feel uncomfortable, are the really posh places, where the girls all have leotards up there bums!
Give it a try, you'll be suprised how nice they are X