like when i was on the bus and 'Henning's Favourite' by JoFo came on and i momentarily forgot that i was on a bus and thought i was in my room, so when it got to the line "raise my middle finger" i did actually raise my middle finger and got some funny looks.
or like when my friend was at the bus stop this morning and he was listen to 'No More Shall We Part' and when it got to the really heartfelt bit where Cave croons "no more shall my letters start; sat here in the depths of winter" my friend pulled a crooning face with his eyes shut, feeling Cave's pain at the bus stop, and when he opened his eyes his dad was driving by, staring at him in utter disbelief.
or like that story that might be an urban myth but my friend swears it about a guy he knows, where the guy was having a wank with his eyes shut, wearing massive headphones and listening to the Bee Gees, and when he was finished and opened his eyes he saw a cup of tea and a scone on the table in front of him that his mum had brought up.
y'know... headphone related embarrassments! got any?