While I've had a decent time with a good friend, it's somewhat liberating to go alone.

Re: "why everyone is questioning why you are there by yourself": This may depend on the area. I lived in Boston for a while and people seemed openly hostile about solo guys. I remember I went to the Enormous Room (RIP: http://www.yelp.com/biz/the-enormous-room-cambridge) one night by myself and got questioned multiple times why I was alone there... The funny thing is that 2 friends I know randomly showed up there on the same night, so I didn't actually end up alone after all... I just go alone sometimes because it is freeing.