It's nice because you don't have to wait on anyone, you always get to go where you want when you want, less potential drama, etc. Sometimes if it's seated it's easier to find a better single seat than a pair and even if it's standing it can be easier to squeeze into spots if you're alone.
I don't go anymore now because of social anxiety and lack of spoons and then COVID hit and then I moved like 500 miles but yeah, you should go and have fun!!! It's easy to get self-conscious and worry that other people are thinking 'oh what a sad lonely weirdo going to a gig/film/restaurant/museum alone' but generally most people aren't paying that much attention, esp if they're with other people who will be distracting them, and if they are still judging you then fuck them, that's their sad little mind. I will say I do notice other solo attendees (I'm also extremely observant and hypervigilant) but it makes me feel better, like oh, I'm not the only one who does this.
Hope this drug*-fueled rambling helped!
*Legally prescribed