Hell yeah I'm embarassed, even though I'm quite aware I shouldn't.
The sterotype that goes along with games is just...wrong, but people still use it. Being female, most of my friends are female, and only one or two know I play games. I won't talk about it unless I know the other plays as well. On the occasion I've mentioned it around people who don't game, I get the worst looks, so I learnt not to mention it.
People have been surprised when coming to my house they see an Xbox, and then upon asking, find out it's mine.