Before any warriors come in with the 'it really isn't that hard to go without alcohol', I can appreciate how the OP might feel. Due to a very social last week, I drank 5 nights out of 7, more out of coincidence rather than deliberate choice (if that makes any sense). Clearly, Alcohol consumption is extremely common at a wide range of social events.
But of course, you don't need to drink to have fun. There are plenty of activities you can do with your friends without alcohol - go on a day out, cinema, sports. Why don't you try taking up a sport like squash and convince your friends to play?
You don't need alcohol to have fun...

Being serious here, I don't drink (well the *very* occasional cider) but go out to clubs and anywhere else, just instead of alcohol I drink soft drinks (usually coke), never had a problem.
As for places other than clubs where you drink, ie pubs there really is no excuse, they sell soft drinks as well don't you know.
Having said that if the club is particularly nasty or the friends particularly drunk then it isn't quite as pleasant, however you just learn to not go to those clubs. I don't quite see why the OP doesn't go out, to me it's more of a don't want to go out and using alcohol as an excuse.

Also it's interesting to note that although a lot of my friends ask how I can go out and not drink and still have fun, when there is no alcohol being drunk by anyone those nights regularly get called one of the best nights out...
You don't need to drink to have fun...