As someone who routinely blasts bagpipe music while driving down the highway, I don't really have anything I'm ashamed of. I'll avoid listening to certain things around certain people though. For example, I've got some anime music in my playlist that I'll skip over if I'm not with the few of my friends who also like anime. Likewise, my girlfriend hates country, so, while she knows I enjoy most of it, I'll avoid playing it if she's around.
My room mates can suck it though; they get to listen to the Rogues of Scotland whether they like it or not.