For things like Melodies, Some Boys! TOUCH, or Aisu Kuriimu to My Purin, I'm not embarassed at all. Not because I'm confident in my manliness, just that I don't find anything wrong with a guy watching it since such things are targeted at men. (although it might make a girl uncomfortable or embarassed) If you can't take pride, or let it be firmly known that this is a thing you like and there's nothing wrong with it ...then you SHOULD be embarassed. You turn on MTV or BET and you see so much more sexuality its almost disgusting, which is one of the main reasons why H!P and JPOP are so appealing to me.
Things that are so happy-go-lucky like Mini-Moni songs are kinda embarassing, but I can still watch it with others in the room. I even own H!P merchandise like CDs and DVDs and Posters, so its not like I hide it.
The reason why people think you might be weird (and this is to anyone), is that people nowadays have been superficial (especially in high school, where usually you're interests or the music you listen to determines your crowd or group of friends), or that they're ignorant of any other music that they don't like or not familiar with ("I listen to all music, except country, I hate country, it sucks" <-things like that).
Hrm...if there was something I'd be embarassed to watch in front of people would be a couple of Berryz or C-ute videos...I don't know, that just pushes the boundaries for me, lol