I don't get that "high" people talk about either, but I do find that I have more energy and feel better overall if I exercise regularly. It doesn't do a lot for my mental health, but certainly improves how I feel physically.

If you're not comfortable going out, you can do aerobics at home or buy an inexpensive set of free weights. If you Google it, there are tons of sites and free videos which will give you basic 15-20 minute work-outs you can do at home with minimal equipment. Maybe that would be better for you at this point than going to a gym.