Would you like to learn how to dance on those dance games better? Then your reading the write store.

[edit] Steps

Buy a mat and game for your home system. You don't want to waste millions at an arcade when you're not confident enough.
If the mat is soft wear socks or it will stick to your feet. If the mat is hard, you can use shoes, but beware as some hard mats can crack with excessive use.
Always start out on the easiest level, and on some of the songs marked out as easy. This will start you off and get you used to the over all feel of the game.
Push yourself. Just did really well on Beginner/Easy level? Try Medium/Intermediate level! You'd be surprised how easy some of the songs are.
Practice. Practicing with a friend is a lot more fun if the two of you both have a dancemat, and it looks awesome at an arcade if you both do it in complete harmony.
Feeling confident now? If you can complete medium rated songs with ease, go try out your skills in an arcade. Stay away from machines where pros are about, as the crowd (and yourself!) can make you feel bad about your efforts.

[edit] Tips

Remember at all times, QUICK LIGHT steps!
dont show off if you know you stink
Wear comfortable shoes, and clothes that aren't too tight. Skinny jeans are not particularly mobile, so it's best to stick to sportswear or ravewear.
Take lots of breaks and drink lots of water. If you get a stitch or cramps, take a breather.
Train in "workout" mode on your game, as that allows you to dance to several songs without being interupted by the end credits, or having your game cut short by failing. Workout mode allows you to see how many calories you've burnt off, which can be very encouraging.
You'll find that you're better at some songs, or just like the song more. Stick with those and it will stay fun, plus you can still get much better.
Remember, it's supposed to be fun! As soon as it feels like a chore, you've lost the original spirit of dancemat!

Don't stomp really hard on the mat. Not only can this damage your mat, but stomping is much slower than quick light steps, and you need quick light steps to win.
Don't pretend you're the lord of the dancemat. There will always be someone better than you, and pride comes before a fall. If you go around telling everyone you're really good, they will want to see, and dancemat always looks easier than it is, so if you mess up they will laugh.
Wearing ravewear and looking awesome on a dancemat will lead a lot of bystanders to believe you're on at least one dance drug.
The dancemat in your local arcade may not have all the songs that your game has, so always try out a variety of songs and styles so you get better at dancemat overall instead of just one or two songs.