I remember when Blockbuster had soft porn.
Me and a few friends felt no shame in renting
Muffy The Vampire Layer.
(to be fair though, it was a snoozefest)
I can remember one of my friends being too embarrassed to buy one of the
Emmanuelle films from HMV. I had to buy it for him.
Like others though, I rarely get odd looks when buying anything, as 99% of my purchases are online. Although, I'm sure Amazon etc. have a 'odd-list' for people who order 'weird' DVDs; and I will no doubt be on it!
No-one should feel embarrassed about buying the films/mags they like, though. It's the people who judge you when you buy it that have the real problem, imo.