While I'm sure I've done plenty of embarrassing things, the first thing that comes to mind, which is also relevant to this forum is:
In college my girlfriend (now wife) and I were playing around in bed. We had recently gotten into this fun little kink of telling each other about our first sexual experiences, then started basically sharing and talking about all our sexual experiences with others. Mostly it was her doing the talking though because she was far more experienced than I was.
This night she walk talking about the time she hooked up with her big high school crush, the guy she admitted she would have given her virginity to. He was playing around with her, and in her words had her "literally dripping wet," then mentioned seeing his extremely hard erection for the first time.
She was playing with me while telling me this, and I was so into her story and the idea of her being dripping wet for this guy, that without thinking I suddenly blurted out "was it big?" when she mentioned his errection.
It got very quiet and she stopped stroking me, obviously surprised by the question. I was suddenly super embarrassed and about to stammer out some kind of excuse or apology when she got this playful little glint in her eyes, started stroking me again and answered "Yes." She then proceeded to get even MORE horny and into the story after admitting to it.
I was so relieved, as I was about to die of embarrassment.