I wouldn't feel comfortable in a small town, either. I prefer as much anonymity as I can get.

Not because I have anything to rationally feel guilty about...there's just something about a closed-circuit environment that drives me crazy. I'm not into gossip and I don't know how to handle it most of the time, but I do wear my emotions on my sleeve a lot of the time. Plus I moved a lot when I was younger. My fiance and I rent right now, so there will be a change when we buy a house and settle down. I think that scares me a bit.
I'm starting to care less and less what others think of me, though. That has been helping. I've even started interacting with "regulars", like the guy that fixes my shoes, the bank teller that I feel comfortable with...unfortunately, my hair stylist moved across the state.
Slowly but surely, I'm building good relationships. It's really not about me. It's about what goal/objective I have in mind while interacting with someone.
--Frayed
Do not take my advice before talking to your doctor/counselor/other professional. Depending on where you live, you may be able to find free, confidential care. Most importantly, sometimes your shrink can be wrong. Get a second opinion.