In Pirkei Avos 2:6 our sages write "...a bashful (one who feels shame)
person can't learn."
"I felt embarrassed standing near those people who were using foul
language" is a healthy sign of shame and modesty.
"I felt too embarrassed to ask the Rebbe what he meant" according to the
Yalkut Yehudah is a sign of arrogance: "I don't want others to know that I
didn't understand something."
Moshe told Aharon "approach the alter" (Vayikra 9:7), because
Aharon was embarrassed to approach it because of his "involvement" with
the "golden calf" (and the alter reminded him of the calf). Moshe praised
him for his response.