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Seriously, when I first started playing live, like a lot of folk, yes I used to get nervous - but then after a few gigs I loved it and to this day for me, I thoroughly enjoy it. I would add that excitement/expectation/adrenalin is good and different to 'nerves' where nerves is really about worry/anxiety. Typically players are nervous that the audience will hate you, that something will go wrong, or you/others will play badly and muck things up, you'll get the set list out of order, your guitar string will break, your gear will fail etc etc. Not having nerves is all about building confidence and being relaxed.
So, how do you build confidence, get more relaxed, and avoid (or at least reduce) nerves? Well, in one word 'PREPARATION'.
Gear
Check your gear before the gig and make sure you've packed everything (making a check list can be very reassuring - tuner, stand, cables, mains gang etc). Restringing your guitar before the gig reduces the chance of a string break, but always take spare strings. Check your guitars set-up/intonation. Where possible, take a back-up. This might be a second guitar, spare amp or MFX unit - eg something small & inexpensive that can get you through the gig in an emergency. I use a large Tonelab SE but I have a little ST as a back-up. Re amps, I have a 1x12 Laney Cub that will get me through. So, all of that takes worry away because you're prepared if something happens gear wise.
Travel
Obvious stuff, check your car's got petrol, tyres are the right pressure, you know the route, programmed your sat nav, or you've got a travel card, money on you etc etc, and leave in plenty of time to allow for possible traffic, train delays, setting up time, sound check etc. Nothing adds to nerves/worry like leaving the house late or getting stuck in traffic and arriving at the venue in a panic!
Gig prep
Covers things like learning the songs both individually and as a band. You don't need to be note perfect - as long as you're in tune, and are playing pretty much together you'll be fine. If you have a song or two that you struggle to remember the structure of, write it down in big bold letters and have it near you to follow just in case your brain goes ga-ga. Trust me, the reassurance its there means you won't need it!
Make sure everyone has a clear set-list written in big bold letters and kept in a plastic wallet that you can have in front of you (e.g. on the floor next to your pedal board etc). A clear plastic wallet means your set list won't get blown away and its protected if you spill your beer on it! Where possible, check out the venue before hand so you know where to set up and where each of you will be on stage, and make sure you have mains extension cables/multi-gangs if needed. where possible, do a sound check before you go on.
Playing at the gig and the audience
If you're having fun then your audience will have fun. Someone from the band should engage the audience and do a bit of intro chat - it warms them and you guys, and engage them during the gig between some of the numbers. When playing, smile & look like you're enjoying yourselves. Space permitting, move around and 'bop' a bit - audiences get bored with bands that just stand and play with blank looks on their faces. Remember, it's not just playing TO the audience - you're entertaining them too.
Generally speaking audiences are there to have a good time and are very forgiving. They won't have a clue that you've played the lead solo wrong, or missed it, or that your singer sang the same verse twice, or that your bass player came in too early, or that your drummer missed a beat or two. If anything goes 'awry' just keep playing and don't stop - the audience won't know any difference. And if something happens like you each start playing a different song and have to restart, make a joke and light of it with the audience - it's all part of playing live and all part of the fun.
Relax, take your time and don't rush into each number - I know there can be a tendency to want to 'get it over with' if you're nervous - but enjoy being out there and don't forget to watch and communicate with each other (verbally or non-verbally as appropriate for type of gig) and 'engage' with the audience.
Break
If you're playing a longer set eg 20-30 numbers, build in at least one break for yourselves wherever possible. It also gives you a chance to 'retweak' anything sound wise you weren't happy with first half.
Feedback
Don't be surprised if you get people coming up to you telling you how much they enjoyed the gig! I guarantee you were way better than you thought you were. If not, why not ask folk if they had a good time - their responses will build your confidence!
Packing up
After all the adrenalin rush it can be easy to forget a cable or something, so that's where the gear list you made earlier is invaluable!
Recording
If possible, try & record some or all of the gig. eg a friend with a video cam or phone, just to give yourselves a flavour of how you sounded/performed - even if sound/picture quality isn't great, it will give you an overall feel. And if it's half decent you can use it to promote yourselves on your internet band page or you-tube etc.
Post gig catchup/beer (or two)!
Very important to bond together and give each other a pat on the back immediately after the gig, and then at the next opportunity to chat honestly about the gig, what went well, what might be improved for next time, what numbers worked well, what numbers you might change etc. But stay positive & be kind to each other, and if anyone did muck up, make light of it - they probably feel embarrassed so take the load off them & laugh it off. Remember, it might easily be you next time!
Sorry, this went on a bit longer than I meant it to, and I'm sure others here have lots of good advice too. But hope this is of some help.
At the end of the day, you are getting up and doing it. Most of the people watching you could only dream of that ;-)
I read a thing with Gary Moore once and he said always soundcheck with your opening number so you are playing something you've just played and the sound is as close to being right as it can be. My band doesn't do that but we do start with the easiest song we know ( not that we know any very hard ones).