Consignment shops or good quality resale clothing shops and boutiques are often great places to find new or even antique style wedding dresses. These dresses are often much less expensive than brand new and can be adjusted and fitted to be the perfect size for you at a fraction of the price of a new designer dress.
Wedding dress shopping should be exciting and fun. If you are worried about doing it, though, don't worry. Most women are very self conscious about shopping for a dress with others. Do what feels right to you and that's what will pay off for your experience.