I have always wanted to work in stand up comedy just don't know enough about it to do it
I'd love to help you learn about it! One of the most important qualities you need to have as a stand-up comic is the ability to perform in front of a live audience, ideally you want to speak directly to them. 
Oh that would be intimidating to me do a lot of performers have anxiety or stage fright?
I think they probably have to learn how to overcome it. A lot of stand-up comedy is performed in bars, pubs, theaters and comedy clubs, so there's really no escaping the audience!
Is stand up comedy well recieved for the most part?
For the most part it is. Stand-up comics are expected to deliver a steady stream of laughs, so if the crowd isn't laughing, you might want to change up your jokes!
I noticed some stand up events are huge and televised and some are smaller
That's true too! Stand-up is often delivered on television, DVD or the internet. Maybe you'd want to try a few YouTube videos to test your content?
I have heard of open mic night but not sure what that is?
Another great idea! An open mic night is usually held at a nightclub or comedy club and allows amateur performers test out their new material. You should give it a try!