If you are male, the best "drug" for social anxiety is weightlifting. (No, you don't need to be a huge-ass body-builder-douche, if you don't do 'roids you probably won't be one, you'll look normal and athletic.)

I think probably it's all about testosterone - weightlifting increases the levels of those and thus makes us feel more "manly" and that just blows away the insecurity.

I'm not a scientist, so that testosterone stuff is just a guess, but it was amazing how at the age if 17 it transformed me from a shy, withdrawn, never-look-people-in-the-eyes teenager to a "real man" - relaxed, confident, one who talks to people as a real equal. Much of social interaction has hidden traces of very primitive instincts behind it: the sexual instinct and the fight instinct, and weightlifting gives you confidence in both (even though you would still be beaten to a pulp by any 120 pound Thai Box fighter, but that doesn't matter, you probably don't actually need to fight: it's just the feeling) which transforms into a relaxed and confident social interaction.

Another way to put it is that as an Aspie, I always felt alien from both the world and from my body. My idea of "me" is something in my head who tries to drive my body with a remote control and it just doesn't work well. Weightlifting got me to connect with my body, it made by body a part of the "me", and through the body as a medium, it made me connect with the world and other people. (Probably it's something about strenghtening some under-used neural pathways that connect the "self" parts of the brain with other parts.)

Now at 30 I'm often too lazy to do it, but whenever I do it for a few months, my Aspiehood just goes away.

About weight lifting helping cure social anxiety, I think it's more than just testosterone. If you get serious about weights, you start watching your diet. Eating well is a large component of feeling well, and cutting down on junk and processed foods makes a noticeable difference in mood and energy.

There was a period of time when I wasn't working out, but I'd go for a drive late at night when I was stressed. Not a normal drive, mind you; I would blast up and down the side of a nearby mountain. The physical aspect of driving, combined with the focus necessary to not go flying off a cliff, had a very similar effect. I don't recommend this, as it was extremely reckless, but if you happen to live anywhere near a track, or even a karting facility, I'd strongly suggest trying it out.

And when you're exercising at the limit of what you're physically capable of, you do feel very alive.

Getting into and pushing through physical pain on a regular basis also makes it easier to connect to and overcome other pains in you.

For some I'm sure, but not me. At the beginning of this year I began regular weight training sessions, three times a week. I have in fact repeatedly said to my friend that got me into it that I never want to look like those world class guys, the ones with the huge super tanned muscles and massive veins popping out all over the place. It's just not aesthetically how I would ever want to look. In a way I see it as being another expression of the "thin" culture that movies and TV tend to promote (mainly to women). These huge pro body builders have taken it to far in my opinion. The human body cannot reach that level of musculature without the aid of synthetic growth hormones. It's just as artificial (if not more) as a person who starves themselves to meet Hollywood's current ideal. Of course, it's their body and they can do what they want with it, but I'm just talking from my POV.

I think I would have the possibility to be a pretty successful pro body builder if I wanted to be as I have a naturally large frame. Even before I started going to the gym, people sometimes would think that I did. So even though I think there's a good chance that I would excel in this area, to me it's not worth exploring to the furthest extreme. My point being that I believe there must be many like me who do weight train but do not wish to ever look like Arnold in his hay day. Hence the common disclaimers that you mention.

In the 3 months that I have been training I have noticeably gained strength and muscle mass, but will never take steroids and will make sure that I never look unnaturally muscled.

I very much like the meditative nature of the training as it relates to concentrated focus on the specific task at hand, as mentioned by another commenter. And there are health benefits that I have already observed.

But as for the effect of weight training on confidence in social interactions, I can't say I've noticed any change whatsoever for me. My feeling is that those who do notice a positive change in confidence are possibly the guys who are a little on the small side and after training for a while and gaining some strength and mass, it makes a bigger psychological difference to them than it may have for me (as I mentioned, I have always been relatively big and tall). My second point being that - based on my own anecdotal experience - I would think any change in confidence would be more tied into the psychological than the physical.