My band has played out twice-- once about six months after we started playing our instruments. Half our gear was built in the garage. We practicised for two months and learned two songs (Kiss' God of Thunder and Uriah Heep's The Wizard). With three days left it kind sunk in that we had a problem and we came up with some of our own songs. Note that we had no singer-- it was all instrumental-- which was a bit tough that early on. I really liked two of the songs we did-- one was called Iron Horse (a ZZ Top like jam in A) and the other was Bach's Tocatta and Fugue in D minor. After our keyboard and guitar solos, we were all supposed to pause and end on the same chord... but our drummer/keyboard player was too nervous and played two wrong notes. I still remember the look on his face, a hideously contorted grin, as I look up from the fretboard to find the source of that terrible sound. He's refused to play it since (that was two years ago). We played again a few weeks ago and it was awesome, though we were a bit drunk. I even sang.
Stage fright though? This is what I've wanted to be able to do for years-- I only get frightened right before we start, when I get up to microphone and see the people standing there looking at me and the rest of the band is waiting for me to open my mouth. Our solution was to start off with a party song-- "It's time to rock'n'roll!" and we go into Living After Midnight.