Walls,
I've been doing Curves since February. I love it! People ther are ALL shapes and sizes, although I've heard some say that there are less fit people there. I've lost about 6 pound since mid-February, but I took a couple weeks off end of Feb, beginning of March and actually went up. I've lost 11 inches, though!
I feel better about myself and I have more energy. If I wasn't out of town almost every weekend, I'd probably be doing better with the eating thing too and lose more. SInce, March, however, I've lost ~1.5 pounds per month and the inches have been great.
As for being self-conscious, there are ALL shapes, sizes and ages. No one cares what anyone thinks. People wear sweats, scrubs, jean, anything goes. That's the great thing about being all women, you're not trying to impress anyone.
The only bad thing I've heard is that after about a year, your body may get used to Curves and you may need to do something more. I think at the very worst, check it out. If you need to do more after a year, so be it. The equipment is made to offer more resistance the faster/harder you use it, though. SO, it should be good for all levels. Like I said, I love it for the energy it's given me. I know I'm stronger too.
You may want to do a search for Curves, there have been a few other threads on it too.
Good Luck!