I'll refer you to a book instead:
"Shyness: What it is, What to do about it" by Philip Zimbardo, one of the world's most well-known and respected psychologists (psychiatrist?)
Some say it's dated, but I found it useful.
If your shyness is with the opposite sex, ballroom dancing is a very good hobby to take up.
Keep this thought in mind when addressing your shyness: "if you're scared of doing something, that means you're doing the right thing". Of course, that rule isn't always true, but when confronting a situation that makes you feel shy, it's a very helpful thing to remember - to interpret your feelings in different way.
Don't worry if you don't become a complete social butterfly ... being introverted is fine; a lot of people can be quite happy spending much of their time alone. Just work with this enough to keep your shyness from making you lonely and sad; think of which victories you really want to make to let your life be more fulfilling, work on them, and don't worry about the rest.
Think of what you do well. Think of what your passions are. If you can get involved in a club, or some activity where you get your mind thinking about those things, rather than yourself, you give yourself an opportunity to really shine. People don't always know how to respond to a shy person - they often just leave them alone. If you're doing something that opens yourself up to other people, you become more approachable, people will respond to you positively, and that will build up your confidence.
Think of little ways you can improve yourself. Maybe get clothes that make you look better - find a friend to help you pick out something that would make you more confident of your appearance, if that's contributing to your shyness. I don't think people should judge others by their appearance, but they will to some degree, and making sure that's taken care of will build confidence.
If you're out of shape, take up exercise - that contributes to anyone's sense of well being, shy or not, as it releases endorphins. Find out what a healthy weight is for your height from a doctor, and work your way toward that. Being in good shape builds confidence.
Make sure you get enough sleep. Lack of sleep, once again, can impact how ready you are to take on the world.
If you have negative thoughts about yourself recurring, identify them, and find ways to let go of them. Some people find meditation can help.
If you have tendencies towards anxiety or depression, you may want to talk to your doctor about it. It's important to try various methods that don't involve medicine first, and to avoid unnecessary dependence. However, I found that I was incessantly dwelling on negative thoughts about myself that I could not let go ... when I got a prescription for Paxil, it helped me a lot let go of these thoughts, and overcome the worse of a depression that had lasted more than a year within a couple weeks. I used it for a few years, weaned myself off, and haven't needed it for years. The effectiveness of medicine is NO MEANS guaranteed. I found Prozac had no impact other that to rob me of sleep, while I've known other people who found Prozac effective and Paxil very unpleasant; yet others who found neither medicine useful. Paxil can have some unpleasant withdrawal effects, if not eased off slowly. But, sometimes it's just the thing, if brain chemistry underlies this. Try other things, particularly exercise and good sleep, first; but don't count this out, if an anxiety is related to your shyness.