I completely understand what you mean. I thought I was the only one. I have 4 videos that I like to switch between so I have some variety in my workouts, but the minute my roomate or bf walked in I automatically turned it off. Kinda looney, but it does seem a bit embarrassing. I just have to remind myself that no matter what funny looks I get I just picture the looks on their faces after they see how much better I am going to lose when I hit my goal.
It seems the people we most care about are the ones we get the most embarrassed with, so the next time the ol' man walks in or the kids giggle, tell em to join you and you can have fun with it together. Then the minute they wear out, but your still going strong, then you can have a little giggle about them. After that, they will understand and you probably won't hear a peep from them anymore or they will enjoy working out with you so much, they will keep joining you. How great would that be?