Not really my own embarrassing moment, but I used to play with a band that would regularly embarrass me...
The band had 2 "leaders" with giant egos. One was probably the most juvenile adult I've ever met, the other would throw fits of rage and physically threaten people whenever something wasn't up to his expectations. I was playing with them because I had no other band prospect at the time, just in order to keep active musically. Plus they were good musicians, serious about their music, rehearsed regularly, etc. There were good musical moments, that is if you could deal with them constantly bickering at each other over everything. And I guess that I kept hoping they'd eventually become reasonable. (I'm a very patient person.)
This said...
Fits of rage guy eventually got us barred from about every gig venue and rehearsal place in town. For example, he once threatened a waitress at a venue because she wouldn't serve him free beers, after the owner had apparently told him that a couple drinks would be included in the deal, which turned out to be false. The poor girl ended up crying in the back room.
Also, Fits was dating an overweight, completely classless, coke addicted pole dancer (he himself was a recovering addict). The kind of stripper who works in the sleaziest places for really cheap, all of which she would often describe to us in details. (I especially remember a story involving one of her customers who had a thing for rectal thermometers... I'll spare you the other details.) She'd often attend rehearsals with their 3 year old daughter: Both parents apparently unworried about her little ear drums. Plus they never spoke to each other, but rather constantly yelled and fought while the rest of us just stood there embarrassed.
And then there were the occasions when she would show up at our gigs and literally steal the show by dancing lasciviously in front of us, bending over, well, just like a stripper, wearing monster platform high-heels and a miniskirt way too short that completely revealed her g-string. A very disturbing sight! That was over 10 years ago and there are people who still talk to me about it... By the end, I would completely avoid telling my friends whenever we gigged.
But it reached embarrassment climax during our last show together. In the middle of it, between 2 songs, Juvenile and Fits started bickering at each other like they always did at rehearsals, but this time right there on stage, while the drummer, I and the audience looked in bewilderment. I don't even remember how it started, or what about. Something like what song to play next... So they're arguing heatedly with the (luckily small) crowd watching, when Juvenile just walked away from stage and from the venue altogether. The rest of us played on, until he came back, 1 or 2 songs before the end of the show, as if nothing had happened.
That's why it was our last show together. Right after the last song, when both of them, drunk by then (and Juvenile probably coked up), were looking all happy and congratulating each other on a great show (!!!), I stormed out saying I'd stop by our rehearsal space to pick up my gear the next day so that they could continue playing at little school without me from now on.