I have been attending Laughter Yoga Sessions a few times now as it was recommended by Dr. Richards Social Anxiety Institute as part of their behavoral tek. Luckily, there was a group run locally which I found on Meetup.
It wasn't quite what I expected, but it seems to be actually quite a powerful tool in reducing social anxiety. I was really nervous at first, but the other participants seem fairly accepting of me.
Some of the exercises are not too threatening, such as mingling in the room and meeting and greeting each other but instead of saying hello you shake hands and laugh like 'Ha-ha-ha!'
Other exercises are deliberately humiliating such as having to pretend you are an animal and make animal noises when it's your turn ('Goofing around'). But everyone is accepting and non-judgemental, so it's not too bad.
We do 'circle of death' introductions sometimes but always with a humorous take. Sometimes you are put on the spot, but not normally for too long so it's not too traumatic.
Then there is the laughing some of which includes a more therapeutic laying down on the floor for a mass group laughter. The groups size varies from about 10 to 16 so it's a bit on the large side, but bearable.
Humiliating feelings and fear can build up (this is what we need to face) but are soon discharged by frequent arm-stretching and laughter / deep breathing / sighing exercises in between.
We are basically encouraged to use those often repressed childhood instincts such as self-display and attention-seeking, but there is no strict force invloved. Anyone can easily excuse themselves if needed.
We break for refreshments near the end and you have a chance to chat with the other participants. The majority of attendees are slightly older than myself and there are more women for some reason.
Cost wise, it is good value and a lot cheaper than a private therapist, at about a tenth of the average price I would guess.
Users, including myself, have reported vivid dreaming after each session so it must be having some effect. I have noticed I am a bit more relaxed and open among other folks now.
I won't claim it's a cure all for SAD but I think it is definately helping and something others might want to try.