I think that compliments can make almost anyone feel uncomfortable (though they're not intended to!) because they can awaken our self-consciousness. When I get a compliment, especially about my appearance, I start to wonder how much people are paying attention to other things about me, and how they might judge me, for worse and for better. Maybe they're even paying attention to things to which I'm absolutely oblivious--what am I missing?! I'm particularly uncomfortable about getting compliments at work, because I'm surrounded all day, every day, by other women (under harsh florescent lighting, no less) and I'm just not as fashionable or cosmetically savvy as they are--and that's in part by choice. I generally prefer to spend my time and money on comfort, simplicity, and more practical things, but I digress....
For me, there's also an underlying thread of humility that my parents and others instilled in me. I think it goes back a long time, from the way they themselves, their parents, their grandparents, etc., were raised, and likely from my time as a Girl Scout many, many years ago, just to name a few. I sometimes got the idea that we're not supposed to be proud of ourselves--or at least, we shouldn't be boastful or vain. (Church, anyone?)
If I'm praised for my performance, it can feel awkward, too, but I'm a little more confident about at least some of what I do, so it's easier to appreciate, even though it still makes me wonder how much I'm being analyzed and how much I might be doing wrong--however that may be defined. Now, praise for something simple/something that I know, undoubtedly, that I'm doing well? Depending on the source, that can feel downright condescending, which I hate.