But these places provide excess stress that is hard for someone to mentally overcome.
Try to attend small events where meeting people isn't a priority, and where you can also get used to smaller social situations.
For example, a man that wants a relationship and has some anxiety will often get enough bravery to go up to some woman somewhere and talk to her, and once he does he'll start hoping and praying she's the one and put a great deal of pressure on a relationship growing from that one conversation.
Then, if she simply isn't interested or has a boyfriend or what have you, he feels worse about himself and experiences more anxiety in the future.
Exercise is probably the single most effective thing you can do for your anxiety, because it provides several benefits that specifically effect those with social phobia: It has nothing to do with looks or weight.
One of the reasons that this is probably true is that those looking for a relationship get overly focused on anyone they meet, putting a great deal of pressure on its success. It's something that can cause significant stress and discomfort, and in extreme cases possibly even cause panic attacks and feelings of low self-worth as a result of social situations.