I lived in dorms for my first two years, and then I moved out to my own apartment. Fortunately, I had a single room both years. If you talk to the people in charge of assigning rooms, you can usually get special accommodations/your own room.
I had a very hard time with people and voices outside my door in second year, but that was because my room was directly across from the common room. I also had trouble going into common spaces, because being around groups of people I don't know makes me nervous.
It's a good experience to (potentially) get out of your comfort zone, but it can be a stretch at times.
For convenience, you can't beat it. It opens up a lot of doors to employment on campus, too, because you're always around.
I've also found it to be slightly less expensive than living on your own, especially if you have a meal plan. That's another point of convenience! You can eat pretty much whenever you need to, so if you like scheduling your own time it's very helpful.
I suggest you go for it and see how you do. Then at least you know what you're capable of handling.
Good luck!