The opening gameplay to Bayonetta first time round made me think WTF?

The ending to MGS2 definately and the tv channel hopping at the beginning of MGS4.

The ending to Shadow of the Colossus was also tres weird.

In terms of feeling awkward, the only time I can recall is playing Dante's Inferno and my girlfriend walking in and making me feel abashed for seeing CGI boobies on a dead woman.