I desperately need advice on how to approach women on nights out, please help!!!

I've always been terrible at approaching women on nights out. I feel stupid, get embarrassed, mess up chat up lines if I use one, the list goes on! I'm average looking and have had a couple of relationships in the past, but to be honest I never really learnt how to approach women or just simply talk to people I don't know. The lack of these skills are probably why I haven't had a shag in a couple of months!!! :-) But that's not all I'm looking for by the way! I know that women seem to like me when they get to know me a bit better, but it's hard to get to that stage when I can't approach them.
Any advice from women in particular would be greatly appreciated! Do you hate chat up lines? What should a guy say so that you don't think he's a weirdo or desperate? Guys any tips on what works for you?