They are pretty snobbish

Not wanting to talk to you isn't snobbish. They literally don't know you, why should they give a shit.
You need to up your skills and act more genuinely so people actually want to.

If you walk up to someone to get to know them, people give you this weird vibe

this only happens if you have ulterior motives: yours might be harmless (making a friend), but anyone can sniff it immediately. It's like if a random stranger walks up to you smiling. Most people will IMMEDIATELY think you want something from them (e.g. a chugger).

If you're cold approaching on the street EXPECT to be snubbed. Until you get really good, then it's more about finding people who are likely to engage you. And coming off in a non-creepy manner (which you're probably doing, even if you don't notice it).

if you approach them in the gym for example - it creeps them out

Same thing. Talking to girls who are at the gym alot of them can tell you're trying to pick them up. It's still definitely doable depending on the situation. I wouldn't worry about it and just focus on the gym however.

"what if she just turns around and laughs at you?"

Your friend's a pussy, but he's right. That's literally the worst thing that can happen, and it's great.