I converted to Catholicism a couple of years ago, and in the beginning, Confession was particularly difficult for me. Every time I would enter the confessional, I would become incredibly nervous and my mind would blank. I would also be tempted to leave out some of the sins for which I was most embarassed (though I would eventually end up including them, mostly to avoid having to go to Confession again!).
To combat this (and this may sound rather childish!), I now take a physical list of my sins with me into the confessional. As many have already suggested, it’s important to make a good examination of conscience beforehand. I then write down a few words for each offense on a slip of paper. This assures that my mind won’t go blank and that I won’t “chicken out” of including sins I know I need to confess. When I get out of the confessional, I happily tear up the slip and throw it away, which also serves as a physical reminder of the absolution I have received. Now that I have begun this practice, my Confession experience is much less stressful and I feel confident that my embarassment won’t overcome my desire to make a good Confession.