22 and never been to a club! I'm also afraid! IIN?

I agree with the above comment. Hold your drink at all times. When it is gone, take a small break to go dance / socialize etc before going for another drink. I have fallen prey to joints laced with pcp and other opiates, so do not take drags or drinks from people you do not know. Do not consume too much alcohol! Personally i would limit myself to 3. Keeps me sharp, under the legal limit and able to function.
I dont notice a lot of men making women uncomfortable. I am more a fan of the metal scene than dubstep though, so I cant say what your circumstances will be. If it makes you feel better, put a ring on your ring finger so you have an easy out. Say "I'm married", briefly flash your hand and carry on. Or just pretend you didnt hear them and keep moving. Those places are loud. Make a game plan for yourself before going out again. Determine how you will handle a situation before it happens, be prepared.
I think it is normal for people to have these worries in this day and age, but you have to live your life. Dont let fear or anxiety turn you into a hermit!