Zumba is fun. The Y I'm a member at has classes. Depending on the instructor, some classes are more of a workout than others, but they are fun.
I'm pretty shy, and I have done them. They are crowded enough, and people are working hard enough watching the instructor and trying to keep up that they don't notice you. I usually get in the back row.
I got comfortable enough at it to be in the middle of the room but certainly not in the front.