I understand your fears of wanting to go into a gym, but we all started somewhere at some point. Doing push ups, sit ups, pull ups can only get you so far, though they are pretty good for starting to build your core and starting out.
I suggest you DO go to a gym- you're going to have to. Work out no more than 3 times a week, and work your full body (upper and lower). Get yourself started with these:
Upper body:
-Bench Press: don't worry about the amount weight you lift. Get your form right, then start doing 2-3 sets of 8-10 reps.
- Dumbbell rows: look at youtube videos to see how you should do this.
- Dumbbell curls: same- look at youtube
- Lat pull down: youtube
- Dumbbell shoulder press
- Sit ups using machines
- Preacher curls (with Dumbbells or barbell)
And search google for good lower body exercises. These should get you started to build pretty much all your upper body muscles. Other members can feel free to add stuff I forgot.
OH and don't go to any supplements or anything. I'm a prime example of being thin and lanky, and I managed to get in good shape by spending about 6 weeks in the gym constantly- I took a weight training class in college, so that really helped.
Tips:
After you get the form right for these exercises, start increasing your weight gradually. Doing more reps in per set with the right form is better than using a lot of weight and getting half the number of reps per set. BUT, you need to increase the weight you lift because it forces your body and your muscles to adapt to the increased stress you put on it- basically that's how you build muscle i.e. stressing your body. It's fine to do an extra set of bench press till fail (when you can't lift any more) because you're forcing your muscle building.
Be safe, know proper form, use a spotter if you need one, and don't be embarrassed AT ALL. Everyone in there started out somewhere, and no one judges. They're way too tired and focused on their workout to really look at you!