Aaron,
Social Anxiety Disorder (Social Phobia) and depression are both often treated effectively with SSRIs (such as Zoloft, Paxil, or Prozac) or Effexor. However, sexual side effects are not uncommonly associated with all these medications. Medications such as Wellbutrin or Buspar may be added to SSRIs to lessen their sexual side effects. Other medications such as Serzone or Remeron may be used to treat depression and anxiety, with lower risks of sexual side effects. I urge you to discuss your concerns further with your treating physician/psychiatrist.
Aaron,
I swithched from Paxil to Wellbutrin because I was experiencing sexual side effects. The wellbutrin caused me no ill effects in the bedroom and seemed to control my depression well. I'm not a Dr., but I have been there. Good Luck!