I was self conscious at first but I just listen to music as it blocks the rest of the world out. Is there anywhere rural you could jog instead where there are no cars about?
Another thing, I think you should start eating healthier, especially foods high in fiber and protein. Make sure you eat plenty of fruit and veg too. Dark chocolate is also good to have before the gym.
I'm so glad you're going again. Hopefully you'll feel a bit more confident in yourself and your moods wont be so low. :)
Lastly, you should have one glass of red wine now and then for a healthy heart.