It is embarrassing. I used to travel quite a bit for my previous job back in the US. ORD was one of the strictest airports. As a result, their security queues were always ridiculously long.
One time, I was wearing a suit with just a thin-strapped camisole underneath. All you could see was a tiny bit of lace at the top of the camisole, peeking out from under the jacket. Figuring I wouldn't have been taking off my suit jacket, I had worn a bra that completely did not go with the camisole. Of course, security wanted me to remove my jacket. I just unbuttoned it and showed them what I would be subjecting all of the other passengers to; so they just let me leave it on. Little did I recall, but I hadn't removed my Swiss army knife (which I always carry with me, everywhere I go). Surprisingly enough, they didn't catch it. So I flew carrying a knife. Sweet safety!
My mom, on the other hand, didn't have such good luck with airport security. I sent my parents away to Bermuda for their 30th anniversary. This was also post-9/11, and neither of them had flown in about 10 years. My mom brought her crocheting with her to do on the plane. Wouldn't you know it, they confiscated her crochet hook. Not big knitting needles or anything--just a little light, hollow, round-edged crochet hook--no more menacing than a pen. Her recently-deceased grandmother had given it to her when she taught my mom how to crochet, as a little girl. And apparently they said, "we have a weapon here!" My mom was so embarrassed; she cried.