I lived in a small town for a while and our 'nights out' were often made up of getting waffles at IHOP and then hanging out at the sex shop. Nothing to be ashamed of; waffles are delicious and sex is fun.
The first time I was scared, especially since it was a skeevy area. But the sex shop near my house is very clean and personable with a helpful staff. I really like it there. EF has also helped me get used to the idea of toys.
I've never been in one. I feel like I'd be comfortable going into a reputable one, but I live in a fairly rural area, so not only would I have to drive moderately far, the closest one is...probably not something I'd prefer to get involved with. It looks really creepy, to be honest.