I always find it amusing that the games that gamers consider to be embarrassing are the ones with some sort of sexual theme to them (or sometimes awkward dialogue). But never games that are hyper violent. Even though the hyper violent games are the ones that the general public tends to take issue with.
I did feel the cold shivers of shame playing Bioshock Infinite in the train next to an elderly woman. Funny thing is that I'm not even sure she was looking at the screen or anything, but man the melee combat in this game is just too gruesome. I finally called it quits and switched to NSMB on Dolphin instead. Don't know if that really helped my case tho...
The new Tomb Raider also attracted some weird looks in trains and planes (hello river of blood).