It's definitely embarassing to talk about, it helps talking to someone that makes you feel better when you talk.
Yes, find someone who really listens and doesn't judge. It makes a world of difference. I didn't realize how bad a listener my current psychiatrist is until I briefly (in a treatment center) had a different psychiatrist. Made me realize I need to find a new psychiatrist who takes the time to understand me. I still haven't done that yet...
Unfortunately many psychiatrists are little more than pill jockeys. They don't have the time to sit and listen the way a psychotherapist does. You're in and out in 10 or 15 minutes, and they just want to know what prescriptions to change, add, or delete. Do you have a therapist in addition to a psychiatrist? They would probably be a better listener.
But try not to worry about sharing too much. Your psychiatrist needs to know exactly what's going on with you so he/she can treat you properly. It's all valid stuff.