Well I'm late to the party here but as they say "better late than never".
The only games I am remotely bashful about saying I love are the Final Fantasy installments I am a fan of and Dragon Age origins.
My reasoning is simple, it is completely misleading in terms of revealing anything about my personal tastes outside of the fact that I do enjoy RPGs.
I love Lunar, Tales, Persona, SMT, Breath of Fire, Secret of Mana and SD3, Hyperdimension Nep, Disgaea, Suikoden, Earthbound, Growlanser, Ni No Kuni and quite a few others I am neglecting to name... all of which accurately reflect my various tastes in terms of style and content. These games paint a clear picture for someone who doesn't know me as to what it is I appreciate. I have no problem expressing (with conviction) my love for these games because they are accurate reflections of me in some sense.
However, conversely if I say I love FF4, FF5, FF6, FF7 and Dragon Age Origins to a gamer who does not know me the wrong impression is conveyed. When this happens, I am more often then not assumed to be a fan of Kingdom Hearts, Elder Scrolls titles or various other WRPGS and occasionally Mass Effect. Those games are ALWAYS the common ground people try to reach with me when they discover my love of gaming and in truth those titles (while not bad) are REALLY not my cup of tea. For that matter, neither are latter entries in FF universe.
So while not actually an issue of shame, I prefer to keep my affinity for FF and Dragon Age under lock and key simply because it is terribly misleading.
The only media I really do not like to admit to appreciating, across the board, is that which I feel provides an erroneous sense of what I really in fact have a taste for.