How do you become more confident?

I have a real downer on myself most of the time because of my weight and many other things I hate about the way I look... to the point where I don't even like going on nights out anymore because I am that embarred about being so grotesque. I have started to go to the gym and diet to sort out my weight but my family and friends say I've never had any confidence and no matter what I try to change about myself it won't make me any happier. How do you build up your confidence???