I don't know if the correct word is embarrassed, but for example, I like epic/trailer music and jazz, and I have many tracks of those genres on my player. However, it's not something that I show to my colleagues. The music tastes of most of them are far different from mine.
However, something funny happened some months ago. We were on a friend's car and when he turned on the radio, his CD started playing jazz tracks. I didn't knew he liked jazz, but all of us who were there said to not turn it off when he was about to. Apparently we all had a common guilty pleasure.