I can totally relate. I have some very good friends who want to throw me a bridal shower and it is just not something I am comfortable with. In my case I just said plainly, "that is so sweet of you, but I am not comfortable with the whole shower thing." They had also mentioned a bachelorette party, which is obviously different in that it doesn't involve gifts, so I said, vaguely but nicely (I think), "I would love to go out and celebrate with you some time before the wedding." That said, the friends in my case will be invited to the wedding. I don't know what I'd do if, for example, people at work suggested an outing, since I'm not inviting anyone from work.