New City, New Life - New Friends? Not yet.

I recently moved to Chicago (the northern suburbs to be precise) after graduating college and getting my first job. I know maybe two people who live in the city and one in the suburbs. I'm not close to any of them, and they're certainly not the type to go out to bars/clubs to drink, meet new people, and have a great time.

That's where my problem comes in. This is a new city for me and I'd really like to meet people who are around my age group and have similar interests. Right now I'm pretty much hating my life here due to the fact that the winters are so brutal, and all I do is go to work and go home to an empty apartment. I guess you can say that I haven't really tried to meet new people, but the problem is I don't know how. I've thought about this numerous times and decided to join a meetup.com group, but it doesn't even seem like they do anything that fun and hardly anyone participates. My friends all gave me suggestions as to how I should go about making friends in this new city, but most of them would make me seem pretty desperate (which in the moment I am, but is not characteristic of me and I can't stand desperate people):

-Go to a bar and start talking to strangers: I'm sure you can all see the problem I run into with this one. First of all, I'm not the type of guy to just walk up and randomly talk to people. I meet all my friends through other acquaintances. If I approach a group of guys in a bar, they might think, how desperate is this guy to come to a bar alone? He must be a loser. The same situation applies if I were to approach a group of girls, in which case I would also be labeled as sketchy.
-Join a gym: One of the first things I did, because I can't stand not going to the gym on a regular basis. I've been at this gym for about 2-3 months now and haven't made a single friend. It's kinda awkward asking for a spot and then going, "So, you from the area?"
-Just go take a stroll: Who am I kidding.. I've been doing this all my life, especially during college on a campus that has close to 30,000 students and I have yet to make a single friend by that approach. I don't think it's going to be any different here.
-Go to a coffee shop: Most people here are either already conversing with someone else or busy doing their own thing. And like I said, I'm not one to initiate conversations with strangers.
-Join a community group: Boring.
-Post an ad on Craigslist: Sketch. Although, I agree it is a viable option if you're looking for a college roommate, since you are probably both students who go to the same school. In a big city it could be anyone..
-People from work: Would be nice if they weren't all older and could be my parents.

You can probably see here that the main problem is that I don't like initiation.. and that's because I have the impression that strangers who talk to me are sketch, and therefore I don't want others to have that same image of me.

How would you approach the situation if you were in my shoes? All I want is to make some close friends who I can party with and confide in. I'm seriously considering moving, but the economy sucks so much I might as well suck it up for a year or two before heading to grad school.