Extremely embarrassed. Even when I was a full on believer, many folks I worked with or knew outside the JWs were not aware that I was one. Even when I was an elder. I recall trying to fit in as a kid and learned that to make and keep friends, I needed to keep my JWism under wraps.
Now, since I have one foot out and one foot in, I really go to lengths to avoid telling anyone. Interestingly enough, I came out to someone I work with who I've known for many years. We are good friends and he knows I'm a JW. I've apologized to him for any stupid JW remarks I've made over our friendship. It was a relief to tell him all the crazy things that go down in that cult. He was shocked but now I have someone I can make jokes with.
I really thought he would think less of me because I was in a cult, but I think since I was a born-in, he really doesn't. He does not understand why I think my wife would leave me if I left and although I explained the ramifications of leaving, I don't think he realizes the extreme shunning that goes on.
I believe because most non-JWs don't have a clue what it means to be a JW (other than distributing mags, not celebrating holidays/birthdays and not taking blood), most think it's just another religion.