I have never been ashamed of what games I buy. When it comes to games I don't really care what anyone else thinks. The only time I have ever been embarrassed was when I was playing Final Fantasy X-2 and the massage scene occurred just when my brother was walking by, he couldn't see the TV and could only hear it.
Though I did feel ashamed while playing a game, Viva Pinata, I killed an innocent pinata and fed it's remains to it's children and laughed manically while I did so.