I said this in tesh's thread - but the same applies here:
I'm quite a shy guy, and only recently have I come out of my shell.. and I've found a few things have helped me greatly.
The main thing that has boosted my confidence is that I have taken up martial arts. You may laugh, but seriously - try it. EVERYONE I know of who has taken up a martial art has ALWAYS gotten a huge boost in confidence. You feel so much more empowered, and it also keeps you fit, so you both look better and feel better (which are correlated anyways).
Another thing is to work out.. same reasons as the martial arts; but it's a slightly different feeling. It's proven that if you look better, you feel better - and working out/going to the gym REALLY helps - plus you get to meet new people (which is another key factor to boosting your confidence).
As well as that - generally thinking positive DOES help. I know it's very hard, but once you start getting into the cycle of caring less about things/what others think then you begin to fool yourself and actually BELIEVE it.
confidence and insecurity are interchangable really.. especially in the advice that I am giving.
Hope it helps.