Any of these books by Dr. David Burns, M.D., can be helpful and they're full of work sheets, quizzes and exercises.

Books | Feeling Good

I've personally used Feeling Good and Intimate Connections and highly recommend them. Feeling Good is especially helpful for depression and anxiety and Intimate Connection is great for shyness, meeting people, making friends and dating.

The information is laid out in a way that assists progress. I copied some of the worksheets and used them on a regular basis and somesychtimes I wrote directly in the book in pencil. If I begin to feel low or shy again, I pick up these books and starting reading and doing the worksheets. It really helps.