Yes, once but that was about 30 years ago. I definitely had some anticipation jitters going over but my then girl-friend who brought me over was very experienced in such matters, and knew most of the people there (and was 5 years my senior, aren't you surprised
) skillfully calmed me down and once we entered the premisses immediately passed me over to one of her girl-friends who made sure that by the time we parted my confidence was at the all time high.
I had a great time and still look at it as one of the highlights of my life, let alone sexual experiences. Surprisingly the most memorable moment came in the car on our he way home sharing our impressions of various participants, with me acting like I was ready to fuck the world-n-more and her mostly giggling at my bravado.
I also went to the orgy where all of the male participants had to pay an entrance fee but that was totally different. If it's latter there is definitely no reason to be intimidated at all. You just go in, don't worry, pretty soon there'd be a lady trying to get you to go with her. Don't hurry. Tell her that you'd get back to her, look around and make your pick. There is really nothing to be intimidated about. Pay for play is pay for play.
If it's former, I think it all depends on who you're going with and on the crowd. Having had only one experience like that I have only good things to say about it but nothing to compare it to too.
However having participated in more then one threesome (both with two ladies and me & her, myself & my buddy) where it all seem to always depend on the interaction between those in the majority, I assume that unless all of those present are newbies you just as I did, should have a whale of a time and be raving about that experience for years to come.
Now if it's a couple swapping on the other hand then it's a whole different issue.