josterD,

I used to be incredibly shy, which seemed weird because at the time I had a pretty visible job--I was a dj at the top-ranked local radio station.  I could talk on the radio and be almost anonymous.  I could even talk to a large group, but I was brutal in one-on-one conversations with people I didn't know.

markschum suggested several good things, including the grocery store. 

I used to go to a clothing store in the mall, and pick out a couple of items that really didn't go together (like a red shirt and green pants), and when I saw someone I wanted to talk to, ask them for help, because I'm colorblind (I'm not, but it's a way to get them talking).  It's non-threatening, it works with one girl or a group, and it helps you get to where you can walk up to someone and start talking.  Some people might blow you off, but that's a reflection on them, not you.

It's like anything else--the more you do it, the easier it becomes.  It won't work every time, but dive in!