It's not really embarassing, just akward. It all depends on where you buy them. If you just run into your local 7-11/convenience store its not bad at all. But if you're at a large store like KMart/Walmart and you got a family behind you..it can be weird.
On a side note...I went in to a Sex Shop about a month ago with my girlfriend and a girl that she knew growing up was in there also with her boyfriend. They were looking at the dildo's and she immediately grabbed him and walked out the front door after saying hi.
:thinking: