Approach anxiety is what it's called in the community.... I won't go into the details as to why we have this fear, maybe i'll go into that later. But i'l explain how to DRASTICALLY REDUCE the fear, or at least how I do it.
Before you go clubbing, spend the whole day at a mall. Approach girls, guys, cashiers, those hot employees at Le Chateau asking em what they think of the shit you put on. Talk to everyone you can. There is no fear in asking a girl at le cheateau to tie your tie for you since you don't know how. Whats the point? It gets you into the talkative mood. Work you way up from employees to actual random girls, maybe even doing your openers on them. Talk to the cellphone guy ask him about the newest cellphones. Just talk.
Then go home and get all dressed up an ready n shit, while blasting your favorite upbeat music and SING ALONG TO IT. This sounds gay, but trust me the mood your in when your singing along to music and dancing like you don't give a fuck, is the exact mood it takes to have no or little approach anxiety.
Make sure you leave WITH FRIENDS, don't go to the club alone to meet your friends there because if you go along you'll be sitting in the cab or bus all alone and your high energy that you spent the whole day creating will just disappear. Go with your friends and in the car or cab or w/e just sing and talk and be really high energy like your going have the best time of your life at the club.
IF you have to commute to the club all by your self, like myself, then I always make sure to take my headphones and i just blast my club bangers and just lip sync it while dancing.... all on the bus. By the way I'm completely sober doing this. This is the mood you want to be in before entering the club so your all "warmed up" and you don't have to do "warm up sets" your already in the talkative playful and full of energy mood.
PS If you drink, just get buzzed cuz if you get too drunk you WILL fuck up your sets.