I'm shy as well and I'm working with a cognitive therapy psychologist to get to the roots of my shyness as well as working on my low self-esteem, since they are connected for me. My shyness is mainly based on a fear of rejection. This leads me to worry excessively about not doing something that's not "correct" in a given situation or saying something "wrong".
A very good book on the subject with a specific program for handling shyness is
Overcoming Social Anxiety And Shyness, which is based on cognitive behavioral techniques.
My own way of dealing with it at the moment is getting out of my comfort zone, like Maxwell suggests. Things like going to a singles party where I don't know anybody, joining a group of mountainbikers for a ride, going to the movies with a girl I've only known for a short time (not a date), signing up for kayaking lessons, doing spin classes with an instructor I know and talking to her after the class, etc, etc.
It's not easy to start with, but it gets better - and the boost you get from eg. going to a party where you don't know a soul and having a nice conversation with a lot of people just for fun is priceless and the confidence carries over to other situations as well.
A great tip for conversations is focusing on the other person, so you don't get too self-focused. It removes some of the anxiety about what the other person is thinking about you. Also, if you're genuinely interested in the other person and what they are saying, the conversation will flow much more easily. The best way of being interesting is by being interested.