Well, lots of my clothes come from friends and some from my wife, but online is my preferred shopping method to be honest. I do like the fitting room and everything but, I am a bit self conscious and I just can't get alot of the more goth type clothes I like without going online, even the local Hot Topic barely carries the stuff I like in their store and if they do they don't have it in my size, though online they do.
However, clothes need not be new, I am a fan of Goodwill and the Goodwill Outlet store (where the clerks don't even look at what you are buying, they weigh them). There are some cool vintage clothes, and if you want to alter them or whatever, and you make a mistake it is no big issue, since they were dirt cheap anyway.
The biggest thing I can say, is "there is nothing to it but to do it" Whatever experience you want the most important thing is letting go of your inhibitions and just going for it.
Personally, I want even more selection than I can get online or in the store, so I am hunting for a nice cheap used sewing machine in reasonable shape, I haven't had one in a few years, and sewing a pattern by hand is an exercise in frustration. And I can be sure my clothes fit then.