No, you don't have to feel stupid about it. Most groups are really close friends who have been playing together for years- and it's hard to be the new kid on the block. The group that I started playing with a few years ago actually is one of the better ones I've been a part of.
My first group consisted of my dad, me, and my brother. Later we added another brother, a sister for a while, and finally my youngest brother. Around the time my youngest brother joined us, we brought a lot of friends into the game, which lasted all the way through high school and well after I moved to Australia.
When I came back, none of my old friends played anymore, and my brothers could be convinced to, but they weren't really rearing for any games. We brought some new friends in, tried a few different games, and finally kind of got people moving. That died when two of the friends had a falling out, and refused to speak with one another anymore.
The next group was a group of people that I knew from high school but had never played with. They were weird.
Next was a WOD group, but I wasn't into listening to people verbally masterbate for thier character for hours, so I wasn't all that into the game, and I kinda went away.
I found a Shadowrun game in some sort of group-locator thingie, but they wanted to play Shadowrun with people who had cat-ears or half-animals (and not using the shifter rules from shadowrun- that's right, homebrew anime adaptation!). So I avoided ever actually playing with them.
I finally reconnected with an old friend, and he introduced me to his group. There was the obligatory GM's girlfriend who never paid attention and got to do whatever she wanted, the self-proclaimed ladies' man, and of course, my buddies, the nerd herd. The GM and girlfriend broke up, and we had a few additions (and a few subtractions) and we're a pretty stable group at the moment.
And... when I can, I still play a game with my brothers. The game of choice is Shadowrun, but we've played a game dedicated to Golden Age Pirates and we're currently trying to adapt 4th edition rules for a Star Wars game with a little more lethality and dirt.
Don't feel bad if your group is lackluster. Try bringing people that you know have fun at games, and pretty soon you'll see the group dynamic changing. Get enough people who get along and you've got yourself a group that'll play pretty much any game.
Oh, and Jester and Gabe used to play together- they're not related or anything. I'm engaged to Elena, and Evil Dave is one of my other brothers (in case you ever see them around).
-kv