I'm self-conscious too. I tried going to a gym, but I felt so awkward that I'd rush through whatever work out I was doing, or I'd find an elliptical off to the side and hide. I also tried jogging, but I was self conscious with all the other runners in my neighborhood. And it was rough on my knees and ankles. I've found that what works for me are short DVDs that I can do at home, all by myself! I get to stop when the DVD stops and I don't worry about anyone looking at me. It might be trial and error, but just keep trying things until you find something that you actually don't mind doing
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