There is always room for improvement. For example, if you're afraid of the opposite sex you can start by simply saying hi to strangers, once you're comfortable with that, you can then start opening with less attractive opposites and so on.
An energetic, enthusiastic attitude towards life will always help you break through anxiety and uncomfortable situations (especially social situations). The more energy you build, the more barriers you will be able to break.
Hate your shyness, lack of money or body fat to a level that makes you abandon your old comfort zone for good. Sometimes it takes nothing but a look in the mirror for someone to realize that change is a must.
Having an attitude of taking action fast will allow you to step out of your comfort zone more often and with more success. Too much thinking welcomes anxiety.
Since most attempts to escape comfort zones are social, having a 'wing-man' or a partner when dealing with uncomfortable situations or when dealing with the opposite sex will help you get better results and will push you beyond your fears and limitations.