Like everyone in the thread says, special interest groups is where it's at. I'm not a big people person, but I've made a few friends recently because I signed up for a dance class. Finding these spaces where people are open to talking with you, is the main initial hurdle.
Once you've gotten through that, I'd say it depends on your ability to carry a conversation and to either be interesting or get people interested in telling you things. One universal truth is that people generally like to talk about things they are passionate about. If you can figure out where someone's passions lie, then you can get them to open up by expressing interest in it. You should also pick up on conversational hooks that let you talk about yourself. Example, if someone mentions that they tried X activity lately, then you can:
- Ask them how it was
- Mention that you've had X before and your experience was blah blah blah
- Mention that you've never had X before but you've always heard that it was blah blah blah and would they recommend it?
Each of these options open up different paths for the conversation and interaction to take, and depending on your own experience with X, you might want to steer it in particular directions. But the core of it is that during the conversation, it would be ideal if both you and your conversation partner are able to talk about yourselves. It helps solidify your mental image in the person's mind and vice-versa. From the initial connection, friendships can bloom.
Conversely, you should also try to leave conversational hooks when you're talking, so that the person can pick up on it and engage with you. If the other person fails to engage at all, you can tell that they're either not so great socially or have zero interest in you. If it's the latter, you can consider not wanting to waste more time with the person.
Conversational advice isn't exactly what you were asking, but I think that this is a good technique to help with the problem of people being too reserved.
Oh and if you go to those stores and you're not sure about how to start things off, you can first make friends with the store owner. Store owners are usually more sociable, as part of their business. It's in their interest to nurture a regular clientele, so you can ask them to teach you about XYZ, or you can ask if they are into XYZ as well. If there are people at the store playing something, you can also spectate (politely) and start a conversation from there. Some people are receptive to spectators, some are very hostile to them, so that's a big dice roll. I've found that if it's a niche game that they're playing, you can usually arouse engagement by asking them to tell you about it. If it's a miniatures game, you can compliment their art.. Of course, it's important to not be a nuisance, since some people find the game sacred and want to focus on it fully, but you'll have to measure that yourself and back off if necessary.