There's a number of pride events that happen in my region. I've never felt comfortable with the idea of going dressed to one of them. With the job that I have, I have a number of colleagues who are their involved with LGBTQIA+ events/etc., and/or are LGBTQIA+ themselves. I am not out to coworkers, nor am I going to be. So, going to one of these events crossdressed stands a very high chance of running into someone I know. So, it would have to be to such an event further away.
Of course, if you're "coming out" at a pride event in front of people who don't know you...is it really coming out?
