To me the biggest worry is that you're completely at the mercy of other people. If they don't like the jokes, you can't say "fuck it, I'll shut up" like you can with your friends, or go take a break. You have to stay on stage and finish. Thats terrifying. There is also the fact that some people may not 'get' what you're saying, and that leads to even more awkwardness.
Oh if you want an example of that then I have to find that recording somewhere. It's literally just that. Honestly you have to go up there with the expectation that you suck and nobody is going to laugh, then when anybody does, you build some more confidence in yourself. I have no stage fright whatsoever, and I personally am so used to awkward moments that they don't even phase me at this point.
I've said a few jokes that fly over peoples head, like a pun or play on words, and then you'll see like 2 people get it and chuckle when they do. It's honestly a really fun hobby and you get better at it the more you do it.
Based on the jokes you constantly make on here, writing material will be no problem for you. Before you go up, you need to establish a character for yourself, an identity for people to identify with. The same way that Bill Burr is the "angry ginger" or Bryan Regan is the "Expressive dumb white guy". I went melancholic sarcastic guy, and another simply doing observational humor based off ridiculous things that happened while I worked at partycity.
It's a lot of fun, and the identity helps but isnt necessarily required. Just know that some nights you WILL bomb, but thats ok! It's all just to have fun anyway.