Actually, that's exactly what it was. Anxiety is often linked with increased levels of empathy. The disorder makes you hone your empathetic skills because you assume the world is against you, so you learn to read people's emotions better to know exactly how much of an asshole they think you are. And the stronger your empathy is, the stronger you feel other people's "social pain." Here's the kicker in the pricker, though: According to fMRI scans, the empathic brain sees no difference between humiliation and physical pain, which turns other people's embarrassment into your own personal snuff show.
The first time I felt this way was during the episode of Frasier in which the title character delivers a speech in what he thinks is Hebrew but is actually Klingon (it ... makes sense in context). I remember feeling so uncomfortable during Frasier's humiliation that I had to get up and leave the room. Though to be fair, that is the reaction of a lot of 20-somethings whenever someone puts on any episode of Frasier.
There's also this one episode of Married ... With Children that I had to bail on halfway through because it was all about Bud getting caught jacking it in the library. The thing is, I absolutely do NOT identify with Bud. If he wanted to masturbate in public without getting caught, he should have gotten himself a camouflage poncho and made base in the tree outside the local nunnery, like NORMAL people. But watching his shame was, well, physically painful for me. Eventually I developed a trick to help me with it, though. Since I watched most of my shows with subtitles, I would turn off the sound during the scenes I couldn't cope with. For whatever reason, it really helped.
But it does exactly fuck all for watching movies in cinemas. Back in the day, I'd sooner let Ben Stiller breastfeed me rather than watch him lie about milking cats in Meet The Parents, which almost made me leave the theater. And speaking of which ...