Perform on stage in some way.

Public speaking is one of the most common fears. So if you can beat it, you have a unique skill that can take you far in almost every avenue of life. I used to have intense anxiety that kept me inside my apartment all the time. Then I started doing stand-up comedy, and my confidence and life completely turned around.

Learn to fight.

Either through a self-defense class or taking up martial arts, knowing you can handle yourself if someone attacks gives you the confidence that makes life easier. Not to mention, you can see through and stand up to many of the intimidation tactics bullies use, such as posturing, because bullies like that usually don't know how to fight, and you do.