Wow, thought it was just me!
I hate watching scenes where one thing after another goes wrong for the character, until he's totally screwed.
I hate watching cliff-hanger close shaves. I remember as a kid, watching the "Duck Tales" cartoon. There was one episode where the entire world was being enveloped by some magic spell that turned everything to gold, and it got to the point where there was only a sliver of non-gold earth that was left, and it was changing fast. By the time it got to within a few feet of the protaganists, who were trying desperately to stop/reverse it, I freaked and turned it off.
But as for embarassing situations... not so much. Maybe if it "hits home" (i.e., connects to some personal experience of my own), but I was able to watch the "Superfreak" scene in Little Miss Sunshine and I just laughed my head off.
One thing that's hard for me to watch is defenseless people getting butchered. "The Devil's Rejects" was real bad for me like that. The Sheriff who went after the psychos was supposed to be portrayed as being just as psycho and vicious as the killers were, in an effort to "blur the lines", but I wanted so, so, so badly for the Sheriff to kill them all, and despaired when he was killed by Tiny. I identified with the Sheriff and believed him to be as 'righteous' as he believed that he was.
I enjoyed the Death Wish movies (with Charles Bronson) thoroughly, and one of the best movies I ever watched was the version of the Punisher where John Travolta played the bad guy. Innocent people get wiped out by a goon squad, followed by the gratification of supreme justice/revenge where Mr. Big Balls goes about systematically bringing the pain.