I recently asked an AA friend of mine how the wedding plans were going, and she held up her ring-less finger. This sort of thing is awful for everybody--the person who innocently asks, and the person who has to keep telling people.
Same thing happened to me when I had a miscarriage the first time I was pregnant.
Anyway, I think the best thing is to request that your friends spread the word that the wedding is off, with the caveat that you also don't wish to discuss it, get expressions of sympathy, etc. There might be a few people who still manage to make you feel awkward, but it should cut down on those moments.
I HATE having to tell people personal bad news, and also HATE being the object of pity. It will soon be old news, don't worry.