I am actually surprised that many people haven't been clubbing at least once in their life time. Come on GAF, you are better than this.
Depending on the club, you can enjoy dancing, enjoy the music, chill out and drink, pick up girls and so on and so fourth. I have been to a lot of them, and you do get your bad days as well as your good days, but if you are going there to have a conversion(s) then you are doing it wrong. Its load and people who are there normally don't care for chit chat, unless you meet someone and decide to hang outside for couple of mins.
Do not go to clubs with one purpose in mind. Be it Dancing, enjoying the scenery (people are dumb in clubs and usually you will have a laugh or two), or just relax and enjoy the music on your leisure. Always pick a club that is usually agrees with your taste in music (Personally I go for Alternative, Funk Dance) and always follow DJs, not the venue. A good DJ can make or break your night. Also, Djs usually have fans and you might meet the same people again and that could lead some great moments in the venue. Many have said that go with groups, and if you are low on confidence invite a person or two and have a good night. But personally, I would say that, clubbing, is a good chance to build your confidence by going there your self and exploring what the night life have to offer.
My biggest advice is: Be yourself and do not care about what the others think of you there. Have fun, go crazy and be mentally energetic and hyper. Most people are too drunk to actually criticise and from experience, its easy to feel reserved when you are with confinement of a gathering, but go for it.