The following is reddit user Tajimoto's account of his experience and success with Cognitive Behaviour Therapy. It is reproduced with his permission. The original reddit thread contains many comments and is well worth a read.
After I met my first gf (happened to be online) and she wrecked me, I fell in such a deep depressive lull that I had to drop out of college for a semester under the medical leave classification of a major depressive episode. I chose to seek therapy, and in my 6 months of seclusion, I decided I absolutely needed to get over social anxiety because I simply could not keep living the way I have been anymore. I decided to search online, and at last discovered a Social Anxiety Cognitive Behavioral Therapy group running at Mass General (I live in Boston).
I remember my first day. Walking in, nervous as hell, and sitting down among a group of 5 others just as socially awkward as I am. We introduced ourselves, and then filled out assessment forms covering two things - 1) if something makes us anxious, and 2) if that anxiety keeps us from doing it.