Maybe it's been brought up at some point in the thread, but there are a lot of pages, and I'm a lazy bastard so I'll just go right ahead...
I find that doing drugs by myself makes me feel extremely lonely and tends to be most unpleasant. Being with friends and family while on mind-altering substances is, to me, the most fun you can have with your clothes on.
Then again, maybe I've yet to do the 'right' drugs by myself. I've only done weed, alcohol, LSD, and oxycontin by me onesies. By the looks of this first page (I'm not THAT lazy), ketamine is pretty fun by yourself, but that's hard to come by in my area.