I was kind of grossed out at first--but if your cat's a humper your cat's a humper--and there's nothing you can do about it. You still love them just the same. And like I said, after the first few times it stops being icky and starts being pretty funny.
Bandit usually doesn't like to do it in front of people, but...sometimes if I have a girl friend over and there are no guys in the house, he wants to do it in front of us for some reason. At first I was mortified that he was doing it in front of company, but the reaction from every single person who saw it was the same--lots of laughter. One friend started calling him "El Bandito Sauve," of which he is referred to by my friends often.
You want embarrassing? It's far more embarrassing that Bandit thinks certain feminine hygiene products that vaguely resemble mice are the most fun toys on the face of the planet, so that if I forget to put the box away on the very top shelf in the bathroom, or I leave my purse unzipped around him, I'll come home (usually with company) to find one ripped open, and the pieces scattered around the house from play (This happened once when my boyfriend's PARENTS came to visit and he somehow got one out of my purse. I wanted to just die).